| 1. |
- Hardardottir, Hjördis, et al.
(författare)
-
Risk aversion, noise, and optimal investments
- 2017
-
Ingår i: Journal of Portfolio Management. - : Pageant Media US. - 0095-4918 .- 2168-8656. ; 43:3, s. 51-59
-
Tidskriftsartikel (refereegranskat)abstract
- In contrast to the efficient market hypothesis (EMH), the noisy market hypothesis (NMH) asserts that prices are but noisy indications of fundamental values. The authors study losses in certainty equivalents of investing according to one hypothesis (NMH or EMH) when the other is true. Their findings suggest that, for reasonable parameter values, investing according to the EMH when the NMH is true yields lower losses than investing according to the NMH when the EMH is true. Further, investing according to the right hypothesis is much more important for risk-tolerant investors than for risk-averse investors.
|
|
| 2. |
- Nystrup, Peter, et al.
(författare)
-
Dynamic Allocation or Diversification : A Regime-Based Approach to Multiple Assets
- 2017
-
Ingår i: Journal of Portfolio Management. - : Pageant Media US. - 0095-4918 .- 2168-8656. ; 44:2, s. 62-73
-
Tidskriftsartikel (refereegranskat)abstract
- This article investigates whether regime-based asset allocation can effectively respond to changes in financial regimes at the portfolio level in an effort to provide better long-term results when compared to a static 60/40 benchmark. The potential benefit from taking large positions in a few assets at a time comes at the cost of reduced diversification. The authors analyze this trade-off in a multi-asset universe with great potential for static diversification. The regime-based approach is centered around a regime-switching model with time-varying parameters that can match financial markets’ behavior and a new, more intuitive way of inferring the hidden market regimes. The empirical results show that regime-based asset allocation is profitable, even when compared to a diversified benchmark portfolio. The results are robust because they are based on available market data with no assumptions about forecasting skills.
|
|
| 3. |
- Peter, Nystrup, et al.
(författare)
-
Regime-Based Versus Static Asset Allocation: Letting the Data Speak
- 2015
-
Ingår i: Journal of Portfolio Management. - : Pageant Media US. - 0095-4918 .- 2168-8656. ; 42:1, s. 103-109
-
Tidskriftsartikel (refereegranskat)abstract
- Regime shifts present a big challenge to traditional strategic asset allocation. This article investigates whether regimebased asset allocation can effectively respond to changes in financial regimes at the portfolio level, in an effort to provide better long-term results than more static approaches can offer. The authors center their regime-based approach around a regime-switching model with time-varying parameters that can match financial markets’ tendency to change behavior abruptly and the fact that the new behavior often persists for several periods after a change. In an asset universe consisting of a global stock index and a global government bond index, they show that, even without any level of forecasting skill, holding a static portfolio may not be optimal.
|
|
| 4. |
- Peter, Nystrup, et al.
(författare)
-
Practical Applications Summary: Regime-Based versus Static Asset Allocation: Letting the Data Speak
- 2016
-
Ingår i: Journal of Portfolio Management. - : Pageant Media US. - 0095-4918. ; 42:1, s. 103-109
-
Tidskriftsartikel (refereegranskat)abstract
- Regime shifts present a big challenge to traditional strategic asset allocation. This article investigates whether regimebased asset allocation can effectively respond to changes in financial regimes at the portfolio level, in an effort to provide better long-term results than more static approaches can offer. The authors center their regime-based approach around a regime-switching model with time-varying parameters that can match financial markets’ tendency to change behavior abruptly and the fact that the new behavior often persists for several periods after a change. In an asset universe consisting of a global stock index and a global government bond index, they show that, even without any level of forecasting skill, holding a static portfolio may not be optimal.
|
|
