Academic literature on the topic 'Liquidity; Portfolio management'
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Journal articles on the topic "Liquidity; Portfolio management"
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Pereira, Gabriel Matos, Leonardo Riegel Sant'Anna, Tiago Pascoal Filomena, and João Luiz Becker. "Restrição de Liquidez para Modelos de Seleção de Carteiras." Brazilian Review of Finance 13, no. 2 (November 5, 2015): 288. http://dx.doi.org/10.12660/rbfin.v13n2.2015.47744.
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Liquidity is an important issue in portfolio management. In 2012, the Brazilian market regulatory agency (CVM) started to require all banks and brokerages to maintain liquidity control of their portfolios. This study presents a liquidity constraint which is endogenously incorporated to portfolio optimization to Brazilian Financial Institutions. The proposed constraint incorporates endogenously some practical issues such as: portfolio value, monetary volume traded, maximum percentage of monetary value, liquidation term date and liquidation level. This constrain is applied to the Brazilian Stock Market. The selected constraint parameters have high influence on the liquidity level of the portfolio.
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Trimborn, Simon, Mingyang Li, and Wolfgang Karl Härdle. "Investing with Cryptocurrencies—a Liquidity Constrained Investment Approach*." Journal of Financial Econometrics 18, no. 2 (June 3, 2019): 280–306. http://dx.doi.org/10.1093/jjfinec/nbz016.
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Abstract Cryptocurrencies have left the dark side of the finance universe and become an object of study for asset and portfolio management. Since they have low liquidity compared to traditional assets, one needs to take into account liquidity issues when adding them to a portfolio. We propose a Liquidity Bounded Risk-return Optimization (LIBRO) approach, which is a combination of risk-return portfolio optimization under liquidity constraints. Cryptocurrencies are included in portfolios formed with stocks of the S&P 100, US Bonds, and commodities. We illustrate the importance of the liquidity constraints in an in-sample and out-of-sample study. LIBRO improves the weight optimization in the sense that it only adds cryptocurrencies in tradable amounts depending on the intended investment amount. The returns greatly increase compared to portfolios consisting only of traditional assets. We show that including cryptocurrencies in a portfolio can indeed improve its risk–return trade-off.
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Vrăjitoru, Eugen-Silviu, Mircea Boscoianu, and Elena-Corina Boscoianu. "Applications of Game- Theory in Active Strategic Portfolio Management- the Case of Hedge - Funds Adaptation for the Real Constraints in Romanian Capital Market." International conference KNOWLEDGE-BASED ORGANIZATION 27, no. 2 (June 1, 2021): 100–104. http://dx.doi.org/10.2478/kbo-2021-0055.
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Abstract The application is focused on strategies for portfolio management in the case of hedge-funds for emerging markets taking into account the severe constraints for a real-world implementation. In the case of Romanian capital market, the design of a hedge-fund architecture should respond to the typical constraints for using alternative strategies. Beyond the liquidity problems there exits only a limited set of alternative instruments and strategies with impact on diversification, on the functionality and efficiency. The objective is to develop a better understanding of alternative actions and innovations for real adaptation of the architecture of a hedge-fund at these emerging market conditions, especially the lack of short and hedging instruments and the liquidity problems. Based on this new innovative framework that could capture the value of multiple rotating satellite sub-portfolio paradigm, as an active strategy, it is possible to build a different paradigm for active portfolio management in a dynamic manner. Based on an adequate dynamic of rotation of these sub-portfolios it results an optimal risk- return-liquidity profile for the whole hedge-fund portfolio, adaptable for different contexts.
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Dai, Min, Luis Goncalves-Pinto, and Jing Xu. "How Does Illiquidity Affect Delegated Portfolio Choice?" Journal of Financial and Quantitative Analysis 54, no. 2 (September 10, 2018): 539–85. http://dx.doi.org/10.1017/s0022109018000753.
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In response to how they are compensated, mutual fund managers who are underperforming by mid-year are likely to increase the risk of their portfolios toward the year-end. We argue that an increase in the liquidity of the stocks that managers use to shift risk can lead to an increase in the size of their risky bets. This in turn hurts fund investors by increasing the costs of misaligned incentives associated with delegated portfolio management. We provide both theoretical and empirical results that are consistent with this argument. We use decimalization as an exogenous shock to liquidity to identify causal effects.
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Botha, Marius. "Portfolio liquidity-adjusted value-at-risk." South African Journal of Economic and Management Sciences 11, no. 2 (September 28, 2011): 203–16. http://dx.doi.org/10.4102/sajems.v11i2.309.
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An important, yet neglected, aspect of risk management is liquidity risk; changes in value due to reduced availability of traded financial instruments. This ubiquitous risk has emerged as one of the key drivers of the developing “credit crunch” with global financial liquidity plummeting since the crisis began. Despite massive cash injections by governments, the crisis continues. Contemporary research has focussed on the liquidity component of single instruments’ value-at-risk. This work is extended in this article to measure portfolio value-at-risk, employing a technique which integrates individual instruments’ liquidity-adjusted VaR into a portfolio environment without a commensurate increase of statistical assumptions.
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Malla, Buddhi Kumar. "Credit Portfolio Management in Nepalese Commercial Banks." Journal of Nepalese Business Studies 10, no. 1 (February 5, 2018): 101–9. http://dx.doi.org/10.3126/jnbs.v10i1.19138.
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Credit portfolio management is a key function for banks (and other financial institutions, including insurers and institutional investors) with large, multifaceted portfolios of credit, often including illiquid loans (Nario, Pfister, Poppensieker & Stegemann, 2016). After global financial crisis of 2007-2008, the credit portfolio management function has become most crucial functions of the bank and financial institutions. The Basel III, third installment of Basel accord was developed after crisis to strengthen bank capital requirements by increasing bank liquidity and decreasing bank leverage that encourages banks to measure credit risk of bank's portfolios. The Basel committee also raises an issue concerning the application of the risk weights used in the capital adequacy framework to determine exposure to risk assets for the purpose of determining large credit exposure (Morris, 2001).The portfolio management of the Nepalese banking sector has been improved remarkably during last 10 years due to the strict regulation of Nepal Rastra Bank. This journal will try to describe the present credit portfolio management practice of Nepalese commercial banks by using qualitative and quantitative methods. In this study, concentration of banks for credit portfolio management has been studied by analyzing security wise loan, product wise loan and sector wise concentration of loan where the researcher has found assorted outcomes. This research also aims to provide some suggestions to overcome with problems associated with credit portfolio.The Journal of Nepalese Business Studies Vol. X No. 1 December 2017, Page: 101-109
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Astic, Fabian, and Agnès Tourin. "Optimal bank management under capital and liquidity constraints." Journal of Financial Engineering 01, no. 03 (September 2014): 1450022. http://dx.doi.org/10.1142/s2345768614500226.
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We propose a model of a bank that invests in both liquid and illiquid assets and whose goal is to maximize its shareholders' profit while satisfying some regulatory constraints. We study the sensitivity of the shareholders' gain and optimal portfolio allocations, as well as the associated bondholders' payoff, to the minimal capital requirement and liquidity ratio. We find that tightening the liquidity constraint adversely affects their rates of return, while preventing some large losses that occur when the portfolio is very illiquid. Stiffening the minimal capital requirement penalizes the shareholders but seems to have little influence on the bondholders.
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Giulioni, Gianfranco. "Policy interest rate, loan portfolio management and bank liquidity." North American Journal of Economics and Finance 31 (January 2015): 52–74. http://dx.doi.org/10.1016/j.najef.2014.10.008.
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Rutkauskas, Aleksandras Vytautas, and Jelena Stankeviciene. "INTEGRATED ASSET AND LIABILITY PORTFOLIO AS INSTRUMENT OF LIQUIDITY MANAGEMENT IN THE COMMERCIAL BANK." Journal of Business Economics and Management 7, no. 2 (June 30, 2006): 45–57. http://dx.doi.org/10.3846/16111699.2006.9636123.
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Liquidity, or the ability to fund increases in assets and meet obligations as they come due, is crucial to the ongoing viability of any banking organization. Therefore, managing liquidity is among the most important activities conducted by banks. Liquidity management model proposed by the authors can reduce the probability of serious problems. Indeed, the importance of liquidity transcends the individual bank, since a liquidity shortfall at a single institution can have system‐wide repercussions. For this reason, the analysis of liquidity requires bank management not only to measure the liquidity position of the bank on an ongoing basis but also to examine how funding requirements are likely to evolve under various scenarios, including adverse conditions. The authors have focused on developing a greater understanding of the way in which banks can manage their liquidity using a broad potential of integrated asset and liability portfolio. As instrument for the solution of the assessed problem the integrated total commercial bank asset and liability structure formation and management when useful occurrence of integrated structure and every outcome is followed with some guarantee to occur was chosen. An academic example is shown as an illustration for ideas analyzed. The formality and sophistication of the process used to manage liquidity depends on the size and sophistication of the bank, as well as the nature and complexity of its activities. The principles focused in the paper have broad applicability to all banks. In particular, good management information systems, analysis of net funding requirements under alternative scenarios, diversification of funding sources, and contingency planning are crucial elements of strong liquidity management at a bank of any size or scope of operations.
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McCarthy, J. F. "PORTFOLIO RISK MANAGEMENT AT BHP BILLITON." APPEA Journal 42, no. 1 (2002): 663. http://dx.doi.org/10.1071/aj01042.
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BHP Billiton has implemented a portfolio risk management strategy. The strategy is based on extensive quantitative analysis of the risks and opportunities in the BHP Billiton portfolio and applies leading financial markets thinking to a portfolio of natural resource assets. It enables BHP Billiton to more rigorously manage the risks within its portfolio.This paper will discuss the portfolio modelling process supporting Portfolio Risk Management. The process involves detailed modelling of changing financial markets (i.e. commodities, currencies, interest rates), the implications for the financial strength of the company (i.e. interest cover, liquidity profile, credit rating, gearing) and, ultimately, the implications for the business strategy (i.e. financial targets, growth aspirations, capital investments, acquisitions, share buybacks). This will illustrate how quantitative tools become building blocks for decision making beyond the market risk strategy and strengthen capital disciplines.
Dissertations / Theses on the topic "Liquidity; Portfolio management"
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Lee, Hwayoung. "Portfolio liquidity risk management with expected shortfall constraints." Thesis, University of Essex, 2016. http://repository.essex.ac.uk/17762/.
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In this thesis we quantify the potential cost of liquidity constraints on a long equity portfolio using the liquidity risk framework of Acerbi and Scandolo (2008). The model modifies the classical mark-to-market valuation model, and incorporates the impact of liquidity policies of portfolios on the liquidity adjustment valuation (LVA). Also, we suggest a quantitative indicator that scores market liquidity ranging from 0 to 1 (perfect liquidity) for a portfolio with possible liquidity constraints. The thesis consists of three major studies. In the first one, we compute LVA given the cash, minimum weight and portfolio expected shortfall (ES) liquidity policies on a long equity portfolio. Several numerical examples in the results demonstrate the importance associated the incorporation of the liquidity policy in the liquidity risk valuation. In the second study, we quantify the execution costs and the revenue risk when implementing trading strategies over multiple periods by employing the transaction costs measure of Garleanu and Pedersen (2013). The portfolio liquidity costs estimated from the model of Garleanu and Pedersen (2013) are compared with the costs estimated from the liquidity risk measure of Finger (2011). In the third study, we estimate the liquidity-adjusted portfolio ES for a long equity portfolio with the liquidity constraints. Portfolio pure market P&L scenarios are based on initial positions, and the liquidity adjustments are based on positions sold, which depend on the specified liquidity constraints. Portfolio pure market P&L scenarios and state-dependent liquidity adjustments are integrated to obtain liquidity-adjusted P&L scenarios. Then, we apply the liquidity score method (Meucci, 2012) on the liquidity-plus-market P&L distribution to quantify the market liquidity for the portfolio. The results show the importance of pricing liquidity risk with liquidity constraints. The liqiii uidity costs can vary greatly on different liquidity policies, portfolio MtM values, market situation and time to liquidation.
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Morrison, Alan D. "Reputation, opportunism and crowd behaviour in debt markets." Thesis, University of Oxford, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.365578.
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Theart, Lomari. "Liquidity as an investment style : evidence from the Johannesburg Stock Exchange." Thesis, Stellenbosch : Stellenbosch University, 2014. http://hdl.handle.net/10019.1/86258.
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Thesis (MComm)--Stellenbosch University, 2014.ENGLISH ABSTRACT: Individual and institutional investors alike are continuously searching for investment styles and strategies that can yield enhanced risk-adjusted portfolio returns. In this regard, a number of investment styles have emerged in empirical analysis as explanatory factors of portfolio return. These include size (the rationale that small stocks outperform large stocks), value (high book-to-market ratio stocks outperform low book-to-market ratio stocks) and momentum (stocks currently outperforming will continue to do so). During the mid-eighties it has been proposed that liquidity (investing in low liquidity stocks relative to high liquidity stocks) is a missing investment style that can further enhance the risk-adjusted performance in the United States equity market. In the South African equity market this so-called liquidity effect, however, has remained largely unexplored. The focus of this study was therefore to determine whether the liquidity effect is prevalent in the South African equity market and whether by employing a liquidity strategy an investor could enhance risk-adjusted returns. This study was conducted over a period of 17 years, from 1996 to 2012. As a primary objective, this study analysed liquidity as a risk factor affecting portfolio returns, first as a residual purged from the influence of the market premium, size and book-to-market (value/growth) factors, and then in the presence of these explanatory factors affecting stock returns. Next, as a secondary objective, this study explored whether incorporating a liquidity style into passive portfolio strategies yielded enhanced risk-adjusted performance relative to other pure-liquidity and liquidity-neutral passive ‘style index’ strategies. The results from this study indicated that liquidity is not a statistically significant risk factor affecting broad market returns in the South African equity market. Instead the effect of liquidity is significant in small and low liquidity portfolios only. However, the study indicated that including liquidity as a risk factor improved the Fama-French three-factor model in capturing shared variation in stock returns. Lastly, incorporating a liquidity style into passive portfolio strategies yielded weak evidence of enhanced risk-adjusted performance relative to other pure-liquidity and liquidity-neutral passive ‘style index’ strategies. This research ultimately provided a better understanding of the return generating process of the South African equity market. It analysed previously omitted variables and gave an indication of how these factors influence returns. Furthermore, in analysing the risk- adjusted performance of liquidity-biased portfolio strategies, light was shed upon how a liquidity bias could influence portfolio returns.
AFRIKAANSE OPSOMMING: Individuele en institusionele beleggers is voortdurend op soek na beleggingstyle en strategieë wat verhoogde risiko-aangepaste portefeulje-opbrengste kan lewer. In hierdie verband is ’n aantal beleggingstyle deur empiriese analise geïdentifiseer as verklarende faktore van portefeulje-opbrengs. Hierdie style sluit in: grootte (die rasionaal dat klein aandele beter presteer as groot aandele), waarde (hoë boek-tot-mark verhouding aandele presteer beter as lae boek-tot-mark verhouding aandele) en momentum (aandele wat tans oorpresteer sal daarmee voortduur). Gedurende die midtagtigs is dit aangevoer dat likiditeit (die belegging in lae likiditeit aandele relatief tot hoë likiditeit aandele) ’n ontbrekende beleggingstyl is wat die risiko- aangepaste prestasie in die Verenigde State van Amerika (VSA) aandelemark verder kan verhoog. In die Suid-Afrikaanse aandelemark bly hierdie sogenaamde likiditeit-effek egter grootliks onverken. Die fokus van hierdie studie was dus om te bepaal of die likiditeit-effek teenwoordig is in die Suid-Afrikaanse aandelemark en of dit vir ’n belegger moontlik is om risiko-aangepaste opbrengste te verbeter deur ’n likiditeit-strategie te volg. Die studie is uitgevoer oor ’n tydperk van 17 jaar, vanaf 1996 tot 2012. As ’n primêre doelwit het hierdie studie likiditeit ontleed as ’n risiko faktor van portefeulje-opbrengste, eers as ’n residu-effek vry van die invloed van die markpremie, grootte en boek-tot-mark (waarde/groei) faktore, en daarna in die teenwoordigheid van hierdie verklarende faktore van aandeel opbrengste. As ’n sekondêre doelwit, het hierdie studie ondersoek of die insluiting van ’n likiditeit-styl in passiewe portefeulje-strategieë verbeterde risiko- aangepaste prestasie kan lewer relatief tot ander suiwer-likiditeit en likiditeit-neutrale passiewe ‘styl indeks’ strategieë. Die resultate van hierdie studie het aangedui dat likiditeit nie ’n statisties beduidende risiko faktor is wat die breë markopbrengs in die Suid-Afrikaanse aandelemark beïnvloed nie. In plaas daarvan is die effek van likiditeit beperk tot slegs klein en lae likiditeit portefeuljes. Die studie het wel aangedui dat die insluiting van likiditeit as ’n risiko faktor die Fama- French drie-faktor model verbeter in sy vermoë om die gedeelde variasie in aandeel opbrengste te verduidelik. Laastens lewer passiewe portefeulje strategieë, geïnkorporeer met ’n likiditeit-styl, swak bewyse van verbeterde risiko-aangepaste opbrengs relatief tot ander suiwer-likiditeit en likiditeit-neutrale passiewe ‘styl indeks’ strategieë. Hierdie navorsing verskaf ’n beter begrip van die opbrengs-genererende proses van die Suid-Afrikaanse aandelemark. Dit ontleed voorheen weggelate veranderlikes en gee ’n aanduiding van hoe hierdie faktore opbrengste beïnvloed. Daarbenewens word lig gewerp op die invloed van ’n likiditeit vooroordeel op portefeulje-opbrengste deur die risiko- aangepaste opbrengs van likiditeit-bevooroordeelde strategieë te analiseer.
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Pereira, Gabriel Matos. "Integração de restrições de liquidez em modelos de seleção de carteiras." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2014. http://hdl.handle.net/10183/103455.
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A liquidez é um fator importante no âmbito da gestão de carteiras. Em 2012, no Brasil, a CVM começou a exigir que todos bancos e corretoras mantenham um controle da liquidez de seus ativos/carteiras. Esse trabalho define uma medida e uma restrição de liquidez adequada ao mercado brasileiro, possível de ser incorporada em modelos de otimização de carteiras. As simulações realizadas com o modelo proposto demonstraram um alto nível de liquidação das carteiras formadas, próximo a 85%.Liquidity is an important element in portfolio management. In 2012, in Brazil, CVM started to require all banks and brokerages to maintain control of the liquidity of its assets/portfolios. This work defines a liquidity measure and liquidity constraints proper to Brazilian market that can be attached to portfolio optimization models. The simulations with the proposed model evidence a high level of portfolio liquidation, close to 85%.
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Umlauft, Roland. "Essays on liquidity and risk." Doctoral thesis, Universitat Pompeu Fabra, 2013. http://hdl.handle.net/10803/119822.
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In Chapter 1 I investigate the economic importance of correlation in mutual fund flows for funds with overlapping portfolio positions. I illustrate theoretically that commonality in trading by funds due to flow correlation influences the optimal portfolio. Furthermore, I show that the expected return from an asset for a specific agent is conditional on correlation of this particular asset holder’s flows with his peers. Finally, I derive a theoretical upper bound of optimal flow correlation and hypothesize the existence of at least one optimal equilibrium outcome for any combination of pairwise fund flow correlations. Empirically, I introduce a measure of portfolio adjusted flow correlation and find that co-movement in flows can significantly deteriorate fund performance in the long-run, by about 1.4% annually between peer funds with high and low correlation, adjusted for style. Finally, I find that around one third of US mutual funds holds non-optimal portfolios as far as dynamic liquidity from correlated trading patterns is concerned.
The research in Chapter 2 presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of stocks. I argue that because of differences in liquidity (or trading cost), most trading activity is concentrated on the subset of liquid assets. In the presence of systematic wealth shocks this leads to an increase in beta risk for the liquid asset class beyond their true level of risk from the underlying dividend process with regard to the market risk factor. Vice-versa, the risk of illiquid assets becomes understated. Moreover, it is argued that a reduction of trading cost in the cross-section will reduce such differences and lead to a convergence of risk factor estimates towards the true value of underlying risk. Empirical evidence using data surrounding the tick-reduction event at the New York Stock Exchange is supporting this hypothesis. I find that beta estimates for liquid assets exceed their illiquid peers, while the difference in beta between the groups is significantly reduced after the exogenous trading cost reduction due to the tick-change event.
In Chapter 3 I investigate asset liquidity surrounding fire-sale events by mutual funds. I develop revised method for identifying liquidity-driven sales. I find empirical evidence of both front running and liquidity provision surrounding liquidity-driven fire-sale events. Applying my identification method for sample selection I find significantly faster rates of return reversal compared to previous literature. Moreover, I show that asset liquidity measures return to their intrinsic values very shorty after a fire-sale. Finally, I show that a trading strategy of liquidity provision by outsiders provides economically significant returns.En el Capítulo 1 investigo la importancia económica de la correlación entre los flujos de fondos relativos a fondos de inversión con carteras similares. Demuestro de forma teórica que la similitud entre las estrategias de trading de distintos fondos de inversión causadas por la alta correlación entre sus flujos de fondos influye en las decisiones optimas sobre carteras de inversión. De forma adicional, demuestro que el retorno esperado de los activos esta condicionado a la correlación de las corrientes de fon- dos con sus competidores. Finalmente, derivo el limite superior teórico de correlación y presento la hipótesis de existencia de una cartera ́optima para cada posible matriz de covarianzas. Introduzco una medida de correlación de flujos de fondos, ajustada por la cartera de inversión. Empíricamente, encuentro una caída del rendimiento a largo plazo de un 1.4% anualmente entre fondos de inversión con estilo similar de inversión. Adema ́s, demuestro que un tercio de los fondos de inversión en los EEUU adoptan carteras de inversión sub-óptimas con respeto a la dinámica de la liquidez derivada de la cercanía en sus estrategias de inversión. En el Capítulo 2 presento evidencia empírica de que existen diferencias en el riesgo beta de los activos en la sección cruzada de la liquidez de las acciones. Las diferencias de liquidez o de costes de transacción hacen que los agentes centren su actividad de trading sobre la clase de los activos m ́as líquidos. Cuando existe el riesgo de shocks a la riqueza sistémicos, esto genera un incremento en el riesgo beta para la clase de los activos m ́as líquidos en exceso del valor real del riesgo que se deriva de sus dividendos con relación al factor de riesgo de mercado. Y vice-versa, el riesgo de los activos ilíquidos se subestima. Una reducción uniforme en costes de transacción puede reducir dicha diferencia entre las be- tas. Demuestro de forma empírica que esto es as ́ı, utilizando datos sobre precios de activos durante el per ́ıodo de cambio de la forma de contabilizar los precios que ocurrió en el New York Stock Exchange. Demuestro que la reducción de costes puede reducir la diferencia en la beta entre activos líquidos y ilíquidos. En el Capítulo 3 estudio cambios en la liquidez de los activos durante ventas masivas por parte de fondos de inversión. Introduzco una innovación en la metodología de identificación de ventas por razones de liquidez frente a ventas por razones de valoración. Encuentro evidencia empírica de pre-venta de activos y provisión de liquidez durante de las ventas masivas por razones de liquidez. Utilizando mi método de identificación de ventas por razones de liquidez encuentro reversión de rendimientos negativos significativamente m ́as rápida que la que habían encontrado estudios anteriores. Demuestro también que las medidas de liquidez de los activos vuelven a sus valores intrínsecos inmediatamente después de las liquidaciones. Finalmente, demuestro que una estrategia de provisión de liquidez genera rendimientos positivos económicamente significativos.
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Brown, William L. "An Analysis of Bitcoin Market Efficiency Through Measures of Short-Horizon Return Predictability and Market Liquidity." Scholarship @ Claremont, 2014. http://scholarship.claremont.edu/cmc_theses/864.
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Bitcoins have the potential to fundamentally change the way value is transferred globally. Their rapid adoption over the past four years has led many to consider the possible results of such a technology. To be a viable currency, however, it is imperative that the market for trading Bitcoins is efficient. By examining the changes in availability of predictable outsized returns and market liquidity over time, this paper examines historical Bitcoin market efficiency and establishes correlations between market liquidity, price predictability, and return data. The results provide insight into the turbulent nature of Bitcoin market efficiency over the past years, but cannot definitively measure the magnitude of the change due to the limitations in efficiency analysis. The most meaningful result of this study, however, is the statistically significant short-horizon price predictability that existed over the duration of the study, which has implications for Bitcoin market efficiency as well as for continued research in short-horizon Bitcoin price forecasting models.
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Roşu, Alina. "Three Essays in Asset Management." Thesis, Université Paris-Saclay (ComUE), 2016. http://www.theses.fr/2016SACLH014/document.
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Le premier chapitre montre que les rendements des fonds investis dans des actions illiquides (“fonds illiquides”) sont mieux que ceux des fonds investis dans des actions liquides. Cette différence provient des capacités de fonds illiquides de sélectionner les actions. Les actions détenues par les fonds illiquides ont une meilleure performance que des portefeuilles qui ont les mêmes caractéristiques. Les fonds liquides déclarent des indices de référence par rapport auxquels leurs rendements sont plus importants. Un portefeuille d’actions détenues par les fonds illiquides a une meilleure performance qu’un portefeuille d’actions détenues par les fonds liquides. Le second chapitre documente une prédictibilité des rendements. Dans ce chapitre, les périodes d’opportunités sont les périodes où les rendements des actions faisant l’objet d’une analyse régulière par les analystes (les actions suivies) s'écartent de ceux des actions qui ne sont pas suivie (les actions négligés). Les rendements ultérieurs des actions faciles à évaluer sont plus importants quand les opportunités étaient grandes, par rapport aux périodes où les opportunités étaient limitées. Ce comportement est cohérent avec un modelé où les investisseurs exigent une prime pour supporter le risque de sélection défavorable. Le troisième chapitre explore les moments où les fonds d’investissement changent leur style d’investissement (le style est défini comme exposition au risque, prenant en compte les facteurs de risque habituels). Les fonds ne prennent pas plus des risques quand il serait plus rentable de le faire. Après avoir eu des mauvais rendements, les fonds se rapprochent du style des fonds similaires, mais qui ont eu des bons rendements. Le style de jeunes fonds s’écarte du style de fonds anciens. Les nouveaux gérants des fonds s’écartent du style de fonds avec des anciens gérants. Quand un fond prend plus de risque d’une côté, il n’essaye pas d’aborder systématiquement les autres côtés du risqueThe first chapter shows that mutual funds that hold illiquid stocks (“illiquid funds”) outperform funds that hold liquid stocks (“liquid funds”). There is evidence this outperformance arises from stock selection skills of illiquid funds. The stocks held by illiquid funds outperform portfolios matched by characteristics. Liquid funds declare benchmarks that make their benchmarkadjusted returns appear larger. A portfolio of stocks held by illiquid funds subsequently outperforms a portfolio of stocks held by liquid funds. The second chapter documents a predictability pattern in returns. This chapter identifies high opportunities in stocks with difficult valuation as times when returns of neglected stocks diverge from returns of covered stocks. Subsequent returns of stocks with difficult valuation are higher when beginning of period opportunities are high, as compared to when beginning of period opportunities are low. This is consistent with an information risk theory, where investors demand a higher premium to hold stocks with higher probability of informed trading, because they fear adverse selection. The third chapter explores instances when mutual funds change their style (style is regarded as risk exposure alongside usual factors). Mutual funds do not take more risk when it is more profitable to do so. After performing badly, mutual funds move closer to the style of good performing peer funds. Young funds' styles diverge from the style of old peer funds. Recently hired managers diverge in style from veteran managers of peer funds. When the average fund takes more risk alongside a style dimension, it does not simultaneously consider other style dimensions
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Katzler, Sigrid. "Improving strategic decisions for real estate investors : Perspectives on allocation and management." Doctoral thesis, KTH, Fastigheter och byggande, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-207004.
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Real estate is an attractive asset class in the mixed-asset portfolio due to favorable risk return characteristics and low correlations with other asset classes like stock and bonds. Unlike financial assets, real estate is a physical asset where large lot sizes/indivisibility, heterogeneity, low liquidity and high transaction costs make applying financial models like modern portfolio theory (MPT) challenging. Optimal allocations to real estate found in literature are generally lower than actual allocations by investors and portfolio managers indicating there are aspects of the application of MPT to real estate that are not fully understood. Since management of real estate is costly and requires expert skills, the question on whether to outsource property management functions is of paramount interest for the real estate industry. The aim of the thesis is to contribute to the literature on strategic decisions for real estate investors on allocation and management, Apart from reviewing literature relevant for strategic decisions at different levels and using a top-down approach to illustrate how selected allocation and management decisions are connected, four separate empirical studies are made to investigate the nature of selected strategic decisions for real estate investors.QC 20170515
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Ngene, Geoffrey M. "Momentum, Nonlinear Price Discovery and Asymmetric Spillover: Sovereign Credit Risk and Equity Markets of Emerging Countries and." ScholarWorks@UNO, 2012. http://scholarworks.uno.edu/td/1469.
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In Chapter 1, I hypothesize that there is a differential response by agents to changes in sovereign credit or default risk in both quiet (low default risk) and turbulent markets (high default risk). These market conditions create two different states of the market (world) or regimes. Investors and policy makers respond differently in the two regimes but the response in the turbulent market condition is amplified as policy makers attempt to smoothen the fluctuations and uncertainty while investors rebalance their portfolios in an attempt to hedge against downside risk of wealth loss. In the two regimes, the short run and long run dynamic relationships between any two cointegrated assets may change. To capture this phenomenon, this study tests for nonlinearities that may characterize the regimes, how cointegration relationships, short term dynamic interaction and price discovery (speed of adjustment to new information between two assets) may change in alternative regimes. To this end, I employ threshold cointegration, threshold vector error correction model (TVECM) asymmetrical return spillover modeling for sovereign credit default swaps (CDS), bonds and equity markets of seventeen emerging markets from four geographical regions. I find that there is non-linear cointegration and momentum in long-run adjustment process in 43/51 spreads analyzed. All countries analyzed have at least 2/6 possible regime specific asymmetric price discovery process. The study also finds evidence in support of asset substitution hypothesis and news-based hypothesis of financial contagions in sovereign CDS, bond and equity markets. The findings have important implications for asset allocation and portfolio rebalancing decisions by investors, policy intervention in financial markets, risk management and regime specific short and/or long term dynamic interactions among assets held in a portfolio as well as nonlinear speed of adjustment to new information.
In chapter 2, I hypothesize that financial intermediaries can be categorized into bank-based institutions (BBIs) and market-based institutions (MBIs). MBIs and BBIs are under different regulatory agencies. Traditionally, only BBIs, regulated by the Fed, are used as conduits of transmitting liquidity and monetary policy into real economy and financial markets yet MBIs also play important role in providing liquidity and stability in financial markets. I use two tools of monetary policy (Federal fund rate and monetary aggregate) under two monetary policy regimes to investigate the impact of monetary policy under each regime on the liquidity of MBIs and BBIs. I investigate whether MBIs be used as conduits of transmitting monetary policy and liquidity in the market and if they should, under what economic and financial conditions (Regimes) should they be used. Moreover, what monetary policy tool is more effective for MBIs relative to BBIs under different regimes? Using Threshold vector auto-regressions and regime specific impulse response functions, I find that liquidity of BBIs and MBIs respond differently to different monetary policy tools under different regimes. Moreover, monetary policies are uncertain and vary over time. The Fed cannot continue to ignore MBIs in formulating and implementing monetary policy. Moreover, monetary aggregate policy is more effective when used on MBIs during contractionary monetary policy intervention (economic downturn) while Federal fund rate is more effective when used on BBIs under expansionary monetary policy.
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Assoil, Ayad. "La mesure et la gestion du risque de liquidité sur le marché boursier du CAC 40." Thesis, Montpellier, 2020. http://www.theses.fr/2020MONTD013.
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La liquidité est une caractéristique primordiale pour le bon fonctionnement des marchés financiers. Elle est importante à la fois pour les investisseurs, le régulateur, les intermédiaires financiers et les sociétés cotées. Cependant, malgré son importance et la placequ’elle occupe dans la littérature traitant de la microstructure des marchés financiers, elledemeure encore une notion difficile à cerner car elle peut désigner à la fois la liquidité d’unmarché, d’un actif, d’un fonds ou d’un portefeuille, voire même la liquidité fournie parune banque centrale. L’absence de consensus sur la définition rend compliqué sa quantification.La présente thèse a pour objet l’analyse du risque de liquidité sur les actions de l’indicede marché CAC 40. Cette thèse s’articule autour de trois axes : le premier axe vise àtraiter de la microstructure des marchés financier pour comprendre les déterminants durisque de liquidité. Un attention particulière est portée sur le rôle de la liquidité dans lescrises systémiques et sur l’influence des nouvelles transformations dans la structure desmarché (libéralisation des marchés, trading à hautes fréquences, les dark pools...) sur lerisque de liquidité. Le second axe se concentre sur la quantification du risque de liquiditésur le marché du CAC 40. Cela est réalisé notamment à l’aide des modèles GARCH etARFIMA, ainsi que les modèles VAR (Vector autoregression). Le troisième axe concernela gestion du risque de liquidité par l’application des modèles LCAPM, le modèle de gestion de portefeuille avec contrainte de liquidité et le modèle Liquidity Value-at-RiskLiquidity is a key attribute for efficient functioning of financial markets. Liquidity is important for investors, the regulator, financial intermediaries and listed companies. However, despite its importance as well as its prominence in the microstructure of financial markets literature, it is still an elusive concept as it may refer to the liquidity of a market, an asset, a fund or a portfolio, or even to the liquidity that a central bank provides. The lack of consensus on the definition of liquidity makes it difficult to quantify it. The aim of this thesis is to investigate the liquidity risk on the CAC 40 market index. This thesis is structured around three main lines : first, the microstructure of financial markets is addressed in order to fully understand the sources and the drivers of liquidityrisk. Particular attention is paid to the role of liquidity in systemic crises and to the impact of new changes in market structure (market deregulation, high-frequency trading,dark pools, etc.) on liquidity risk. Second, we focus on the quantitative measurement of liquidity risk on the CAC 40 market. This is achieved by using the GARCH and ARFIMA models, as well as the VAR (Vector autoregression) models. Third, we address the liquidity risk management through the application of the LCAPM model, the liquidity constrained portfolio model and the Liquidity Value-at-Risk model
Books on the topic "Liquidity; Portfolio management"
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Schwartz, Eduardo S. Illiquid assets and optimal portfolio choice. Cambridge, Mass: National Bureau of Economic Research, 2006.
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Svensson, Lars E. O. Portfolio choice and asset pricing with nontraded assets. Cambridge, MA: National Bureau of Economic Research, 1988.
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Nielsen, Lars Tyge. Portfolio choice and equilibrium with expected-utility preferences. Fontainebleau: INSEAD, 1992.
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Aiyagari, S. Rao. Asset returns with transactions cost and uninsured individual risk: A stage III exercise. Cambridge, MA: National Bureau of Economic Research, 1990.
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Dynkin, Lev. Quantitative credit portfolio management: Practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk. Hoboken, NJ: Wiley, 2011.
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Kimball, Miles S. Precautionary motives for holding assets. Cambridge, MA: National Bureau of Economic Research, 1991.
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Dynkin, Lev, Jay Hyman, Arik Ben Dor, and Bruce D. Phelps. Quantitative Credit Portfolio Management: Practical Innovations for Measuring and Controlling Liquidity, Spread, and Issuer Concentration Risk. Wiley & Sons, Incorporated, John, 2011.
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Dynkin, Lev, Jay Hyman, Arik Ben Dor, and Bruce D. Phelps. Quantitative Credit Portfolio Management: Practical Innovations for Measuring and Controlling Liquidity, Spread, and Issuer Concentration Risk. Wiley & Sons, Incorporated, John, 2011.
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Quantitative Credit Portfolio Management Practical Innovations For Measuring And Controlling Liquidity Spread And Issuer Concentration Risk. John Wiley & Sons, 2011.
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Dynkin, Lev, Jay Hyman, Arik Ben Dor, and Bruce D. Phelps. Quantitative Credit Portfolio Management: Practical Innovations for Measuring and Controlling Liquidity, Spread, and Issuer Concentration Risk. Wiley & Sons, Incorporated, John, 2011.
Find full textBook chapters on the topic "Liquidity; Portfolio management"
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Crabbe, Leland E., and Frank J. Fabozzi. "Liquidity, Trading, and Trading Costs." In Advanced Bond Portfolio Management, 21–42. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119201151.ch2.
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Abensur, Eder Oliveira, Romesh Saigal, Shuoyuan Zhang, Yanyi Song, and Hao Yu. "Stochastic Liquidity Model and Its Applications to Portfolio Selection." In Proceedings on 25th International Joint Conference on Industrial Engineering and Operations Management – IJCIEOM, 42–51. Cham: Springer International Publishing, 2020. http://dx.doi.org/10.1007/978-3-030-43616-2_5.
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"Quantifying the Liquidity of Corporate Bonds." In Quantitative Credit Portfolio Management, 81–132. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119202851.ch5.
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"Joint Dynamics of Default and Liquidity Risk." In Quantitative Credit Portfolio Management, 133–55. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119202851.ch6.
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Onyiriuba, Leonard. "Bank Liabilities Portfolio and Liquidity Risk Management in Developing Economies." In Bank Risk Management in Developing Economies, 379–99. Elsevier, 2016. http://dx.doi.org/10.1016/b978-0-12-805479-6.00020-1.
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Cosares, Steven, Taylor Riggs, and Andrew C. Spieler. "Debt Investment Strategies." In Debt Markets and Investments, 661–78. Oxford University Press, 2019. http://dx.doi.org/10.1093/oso/9780190877439.003.0034.
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The diverse investment opportunities available in the debt market enable both individual and institutional investors to develop effective passive and active strategies for financial planning and portfolio management. Such strategies suggest a set of purchases, redemptions, and liquidations to meet investor objectives that consider such factors as market risk, expected investment returns, cash flows, liquidity, and investor convenience. Investment strategies can inoculate the portfolio against potential adverse markets events such as wide fluctuations in interest rates or can be executed in anticipation of an event affecting future market conditions such as an announcement by the Federal Reserve or the default of a municipality. This chapter presents different scenarios in which an investor would employ some appropriate strategies involving bonds or other debt-based securities.
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Subeniotis, Demetres N., and Ioannis A. Tampakoudis. "The Effects of Innovative Instruments to Market Participants and the Financial System." In Advances in Business Information Systems and Analytics, 204–20. IGI Global, 2010. http://dx.doi.org/10.4018/978-1-60566-996-0.ch014.
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Financial innovation triggered new ways in which financial institutions and corporates cope with credit risk since the advent of credit derivatives. A variety of new developed financial instruments, often complex products, offers significant advantages to market participants and its key players and in particular financial institutions. As statistics indicate, advanced computerization is by large the most important factor for the wide use of credit derivatives. More efficient loans portfolio management, further business expansion and confidentiality are the main benefits for banks. In addition, various non financial firms benefit from these tailor-made products. More importantly, credit derivatives are key elements of the financial systems’ stability, through increased liquidity, risk reallocation and credit risk pricing. Nevertheless, these innovative products are accompanied by significant considerations on behalf of users and policy makers. Out of which documentation, pricing, regulation and concentration are the central concerns. Market participants and regulators should face the challenges of credit derivatives market so as to boost the trouble-free intensive growth of these instruments.
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Al Janabi, Mazin A. M. "Risk Management in Emerging and Islamic Markets in Light of the Subprime Global Financial Crisis." In Advances in Finance, Accounting, and Economics, 98–127. IGI Global, 2020. http://dx.doi.org/10.4018/978-1-7998-0039-2.ch006.
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The 2007-2009 global financial crisis emphasized the need for rigorous integration of asset liquidity trading risk into value at risk (VaR) modeling algorithms. In this chapter, the author examines measures of certain kinds of liquidity risk that is useful for completing the definition of market risk and for forecasting liquidity-adjusted VaR (L-VaR) under illiquid and intricate market outlooks. This chapter proposes robust modeling algorithms for the quantification of liquidity risk for portfolios that consist of multiple-assets. The empirical testing is performed using data of emerging and Islamic Gulf Cooperation Council stock markets. To that end, the author simulates diverse portfolios and determines the risk-capital and risk-budgeting constraints. The optimization algorithms are interesting in terms of theory as well as practical applications, particularly in light of the 2007-2009 global financial meltdown. The optimization algorithms can have important uses and applications in expert systems, machine learning, and financial technology (FinTech) in big data environments.
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Van Greuning, Hennie, and Sofija-Sonja Brajovic Bratanovic. "Managing Liquidity and Other Investment Portfolios." In Analyzing Banking Risk (Fourth Edition): A Framework for Assessing Corporate Governance and Risk Management, 225–36. The World Bank, 2020. http://dx.doi.org/10.1596/978-1-4648-1446-4_ch9.
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Al Janabi, Mazin A. M. "Strategic Corporate Decision Making With Market and Liquidity Risk Management." In Social, Economic, and Environmental Impacts Between Sustainable Financial Systems and Financial Markets, 307–18. IGI Global, 2020. http://dx.doi.org/10.4018/978-1-7998-1033-9.ch014.
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This chapter examines a practical methodology for the assessment and control of market and liquidity risk exposures for financial trading portfolios that consist of certain equity assets. The applied technique is based on the contemporary concept of liquidity-adjusted value at risk (LVaR) along with the application of optimization risk-engine algorithms. This chapter proposes a broad market and liquidity risk management model that can concurrently perform LVaR estimation under regular and stressed market scenarios. It takes into account the effects of illiquidity of traded equity assets. In order to demonstrate the appropriate application of LVaR and stress-testing techniques, real-world case analysis of trading risk management are presented for the Gulf Cooperation Council (GCC) stock markets. To this end, a number of optimization case studies are examined with the aim of developing a novel technique of trading risk measurement as well as the implementation of a risk optimization process for the computation of the maximum permitted LVaR limits.
Conference papers on the topic "Liquidity; Portfolio management"
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Meng Wu. "An interval portfolio selection model with liquidity constraints." In 2012 International Conference on Information Management, Innovation Management and Industrial Engineering (ICIII). IEEE, 2012. http://dx.doi.org/10.1109/iciii.2012.6339829.
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Yang, Zhongyuan, and Wen Xu. "Optimization Model of Asset-Liability Portfolio Based on Controlling Liquidity Risk." In 2009 International Conference on Management and Service Science (MASS). IEEE, 2009. http://dx.doi.org/10.1109/icmss.2009.5303021.
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Uvarova, Inga, Dzintra Atstaja, Viola Korpa, and Miks Erdmanis. "Financial viability of circular business models in tyre recycling industry in Latvia." In 21st International Scientific Conference "Economic Science for Rural Development 2020". Latvia University of Life Sciences and Technologies. Faculty of Economics and Social Development, 2020. http://dx.doi.org/10.22616/esrd.2020.53.028.
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The end-of-life (EOL) tyre recycling industry in Latvia is encountering economic and sustainability challenges, which require solutions by various stakeholders. Improvement of tyre waste management and recycling is important within the context of sustainability and the new streamlining of circular business models. Its importance is also recognized at the European Union level in relation to the further strategic goals and the European Green Deal. In addition, the tyre recycling industry in Latvia demonstrates a relatively unfavorable financial situation, which is one of the most significant factors hindering the introduction of new circular business models. The aim of this research is to clarify the challenges related to the financial viability of tyre recycling companies adopting the new circular business models. The main research methods are literature review, semistructured in-depth interviews, case studies and financial analyses. There are large stocks of EOL tyres and on average just 50 % of them are recycled. The tyre waste management companies are not motivated to supply EOL tyres to recycling companies. On the other hand, due to various reasons, most of the tyre recycling companies are not working with their maximum production capacity. The research results reveal that the tyre recycling companies mostly run traditional and inefficient business models that require large operating costs and ensure comparatively low profitability. In order to enable more efficient and environmentally friendly type recycling process, the companies should implement new, investment intensive technologies. Yet, they face critical issues of liquidity and financial returns. Major conclusions are related to the necessity to develop several business models interlinked within one portfolio thus ensuring the manufacturing of various products with higher added value and quality. This may maximise the profits and improve the financial viability of tyre recycling business models.