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1
Ibrahim, Boulis Maher Boulis. "Asset allocation". Thesis, University of Strathclyde, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.287041.
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Brinkmann, Ulf. "Robuste Asset-Allocation /". Bad Soden/Ts. : Uhlenbruch, 2007. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=016280816&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Flavin, Thomas J. "Tactical asset allocation". Thesis, University of York, 1999. http://etheses.whiterose.ac.uk/2493/.
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Hoevenaars, Roy Peter Maria Mathieu. "Strategic asset allocation & asset liability management". [Maastricht] : Maastricht : Universiteit Maastricht ; University Library, Universiteit Maastricht [host], 2008. http://arno.unimaas.nl/show.cgi?fid=9679.
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Simon, Sarah. "Asset Allocation und Zeithorizonteffekte". St. Gallen, 2005. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01654235001/$FILE/01654235001.pdf.
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Zhang, Huacheng. "Essays in Asset Allocation". Diss., The University of Arizona, 2013. http://hdl.handle.net/10150/293404.
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This dissertation consists of two essays in asset allocation. In the first essay, I measure the value of active money management. I explore this issue by comprehensively examining the parametric rule proposed by Brandt, Santa-Clara and Valkanov (2009) (the BSV rule) out-of-sample for portfolio selection among 3516 stocks in CRSP and comparing this rule to the mean-variance (MV) rule and the naïve 1/N rule recently advocated by DeMiguel, Garlappi and Uppal (2009). The BSV rule outperforms both the MV and 1/N rules and the outperformance is robust to investment horizons and stock market states. The BSV rule is effective for investors with different preferences or investment opportunities. The effectiveness of the BSV rule is robust to data screening criteria, estimation periods, portfolio performance evaluation models, the business cycle, and stock market states. In the second essay, I explore the question of whether macroeconomic state variables are able to predict cross-sectional stock returns from the perspective of asset allocation. I find that conditioning on macroeconomic state variables leads to optimal portfolios with a Carhart alpha that is 125 basis points per month higher than unconditional optimal portfolios out-of-sample. Unfortunately, conditioning on macroeconomic states is subject to an "overfitting" problem and can lead investors to experience unexpected huge losses. My results suggest that macroeconomic state variables mare able to predict cross-sectional stock returns but risk-averse investors need to combine other funds (e.g. market portfolio) to take advantage of this predictability.
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UBERTI, PIERPAOLO. "Higher moments asset allocation". Doctoral thesis, Università degli Studi di Milano-Bicocca, 2010. http://hdl.handle.net/10281/11955.
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In this dissertation a four moment asset allocation model is proposed. Some
assumptions are made in order to simplify the optimization model and to
obtain a closed form solution for the optimal portfolio. In particular, the
key assumption concerns the representation of skewness and kurtosis. The
obtained optimal portfolio is a generalization of the classical two moments
optimal portfolio, see Markowitz (1952). This generalization permits to write
the optimal portfolio as the sum of three portfolios: the first one is the meanvariance
optimal portfolio, the second one depends on the skewness only
and the third one on the kurtosis only. Moreover, the efficient frontier and a four funds separation theorem has been
derived in the four moments framework.
8
Burri, Silvan. "Asset Allocation including Currency Managers". St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01649268002/$FILE/01649268002.pdf.
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Russo, Agostino. "Asset allocation under liquidity constraints". Thesis, Imperial College London, 2003. http://hdl.handle.net/10044/1/8477.
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Kearns, Michael. "Learning and strategic asset allocation". Thesis, University of Southampton, 2016. https://eprints.soton.ac.uk/408016/.
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This thesis investigates whether or not models that portray the relationship between what an investor learns and how he allocates his portfolio can explain phenomena related to household behaviour in the stock market. Endogenous modelling of household learning is utilised, which builds on a growing literature called bounded rationality with increasing explanatory power, offering an alternative to the classical rational expectations theory. Such phenomena include firstly why households often hold portfolios that are little diversified, secondly why household beliefs about the stock market exhibit widespread heterogeneity despite past data being publicly available and lastly whether or not they employ strategic motives in the stock market and whether they complement others’ actions or substitute them for their own. In particular, Paper 1 addresses the observation that a significant number of investors hold concentrated portfolios, apparently forgoing the benefits of diversification. In a static portfolio choice model with limited capacity constraints, Van Nieuwerburgh & Veldkamp (2010) show that the observed lack of diversification is rational amongst investors with a strong preference for an early resolution of uncertainty. This paper studies whether or not endogenous information acquisition can also rationalise the observed peculiarity within a dynamic portfolio choice model. It is found that in the steady state, a hedging demand component appears in the optimal portfolio, which attempts to spread risk across the investor’s investment horizon: The investor chooses additional information precision the smaller is the compensation for bearing risk. A numerical approximation to the agent’s decision rule suggests that the research question can be answered in the affirmative. This is for an investor who is indifferent to the time of uncertainty resolution and is risk averse over wealth. Paper 2 tackles the question “Is demand for information positively correlated with returns?” Results from this study indicate “no” in any permanent sense. Using a dynamic model of endogenous information acquisition and portfolio choice, simulations reveal that once an agent learns the underlying process behind returns, his demand for information is constant and hence acyclical. This is surprising given survey results found by Coibion et al (2015), which, along with the PATeR survey 2014 wave, document widespread heterogeneity in agent beliefs. Hence it appears that economic agents in reality do not treat returns as though they are driven by an underlying, learnable process. This paper contributes to literature on bounded rationality and limited processing of information. It also finds a rationale for belief heterogeneity: ignoring realised returns and observing signals that support prior beliefs allows degenerate distributions to emerge. This result can be produced under the assumption that the investor does not access public information. Lastly, the third paper addresses whether or not households behave strategically regarding each other when making stock market participation decisions. The study examines the contribution of strategic considerations in stock market return expectations on the demand for risky assets empirically, exploiting novel data from the 2014 PATeR survey wave, representative of the population by age and wealth. The strategy is to identify whether individual stockholding decisions are consistent with strategic substitutes or complements prevailing in the stock market, under the null hypothesis of efficiency. The study finds evidence for strategic complementarity and additional information variables can explain this effect. Given the substantial heterogeneity in expectations and perceptions of returns, and the relatively low degree of sophistication of the median investor identified in the empirical literature, the project concludes that as strategic substitutes prevail even amongst them, a portion of the excess volatility observed in stock markets may be driven by expectational motives in coordination.
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Mjebeza, Athenkosi. "Asset allocation and Regulation 28". Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/20586.
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This paper aims to determine the impact Regulation 28 has on optimal asset allocation. The revised Regulation 28 of the pensions fund act came into effect as of 1 July 2011 which imposed certain restrictions or constraints on pension funds under direct control of trustees. This study evaluates some of the constraints imposed on the Regulation 28 through the use of Markowitz (1952) efficient frontier framework and a non-parametric model. With offshore allocation increased to 25% and an additional 5% to African (ex SA) markets the study also explores the diversification prospects to international, emerging and African (exSA) markets. The findings suggest that international markets bring about increase benefits to South African markets; however, when the Regulation 28 constraint is imposed the benefits slightly diminishes. Further analysis show that emerging and African markets bring little to no benefits to optimal South African pension fund allocation. Locally, the study looked at the gold index and the findings suggest that the gold asset class increases the welfare of an investor and it's a safe haven asset class.
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Xie, Yuxin. "Asset allocation under disappointment aversion". Thesis, University of Liverpool, 2014. http://livrepository.liverpool.ac.uk/2005780/.
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The present thesis examines one of the non–standard preferences, the theory of disappointment aversion (DA) from Gul (1991), within an asset allocation problem. Related to the area of decision–making under risk, it sheds light on: (i) at the global level, how the risk exposure reduces quantitatively in the presence of disappointment aversion; (ii) given the empirical data, what are the plausible levels of disappointment aversion around different financial markets; and (iii) how disappointment aversion interacts with both inherent risk attitudes (i.e., risk aversion, subjective probability weighting and cultural dimensions) and environmental stimuli (i.e., pleasant or unpleasant odours). In Chapter 2, drawing upon the seminal study of Ang et al. (2005), we incorporate disappointment aversion (that is, extra aversion to outcomes that are worse than prior expectations) within a simple theoretical portfolio choice model. Based on the results of this model, we then empirically address the portfolio allocation problem of an investor who chooses between a risky and a risk–free asset using international data from 19 countries. Our findings strongly support the view that disappointment aversion leads investors to reduce their exposure to the stock market (i.e., disappointment aversion significantly depresses the portfolio weights on equities in all cases considered). Overall, our study shows that, in addition to risk aversion, disappointment aversion plays an important role in explaining the equity premium puzzle around the world. In Chapter 3, we investigate investors’ asset allocation when their utility consists of wealth utility and disappointment aversion utility in which gains and losses are calculated with respect to the expected wealth. We show that optimal investment proportions increase when disappointment aversion on the assets decreases, and that disappointment aversion increases when expected excess returns increase. When decreasing absolute risk aversion holds, disappointment aversion increase with wealth, which is supported by our empirical results with asset allocations in pension funds of 35 OECD countries. We also find that individualism is positively related to disappointment aversion. These results indicate that the overconfidence represented by their individualism leads to more disappointment when losses occur. Chapter 4 aims to investigate the role of odours on DA in a monetary gamble task. We elicited the degree of DA based on an experimental procedure similar to Sokol-Hessner et al. (2009, 2013). Our study shows for the first time that unpleasant odours increase DA in a monetary gamble task. Such odour–related variations in individual DA were associated with hedonic evaluations of odours but not with odour intensity. Increased disappointment aversion while perceiving an unpleasant odour suggests a dynamic adjustment of aversion to losses. Given that odours are biological signals of hazards, such adjustment of disappointment aversion may have adaptive value in situations entailing threat or danger. Chapter 5 concludes this thesis and points out further directions.
13
Shigeta, Yuki. "Regime Switching and Asset Allocation". Kyoto University, 2016. http://hdl.handle.net/2433/217128.
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Herold, Ulf. "Asset Allocation und Prognoseunsicherheit : die Berücksichtigung von Schätzfehlern in der strategischen und taktischen Asset Allocation /". Bad Soden : Uhlenbruch Verlag, 2004. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=010723393&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA.
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Wang, Cong. "Household Risky Assets: Selection And Allocation". Columbus, Ohio : Ohio State University, 2008. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1204747467.
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Bendrich, Denise, i Johan Bergström. "Impact of Asset Allocation on Insurance Companies’ Performance : A study of the European Economic Area". Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet (USBE), 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-106692.
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Insurance companies offer business and individuals the possibility to reduce the financial impact of a risk occurring by transferring it away from themselves onto someone. For taking on risk on behalf of someone else the insurance company requires a premium from the policyholder which is pooled and invested in order to meet future obligations towards the policyholder. However, the importance of the European insurance industry goes beyond economic protection of the policyholder as the industry with its EUR8.4 trillion or 58 percent of EU GDP in assets is the largest institutional investor in Europe. As the financial system has undergone dramatic transformation over time, so have the role and function of intermediaries changed. While traditional tasks like reducing transaction costs and asymmetric information became less relevant, facilitating of risk transfer and dealing with the increasing breadth and depth of financial markets are gaining more and more importance. While insurers have been able to hold illiquid asset to a larger extent arguments from the industry are made that the planned introduction of Solvency II will limit insurers and overlook their investment abilities, which is something that can affect the region’s economic development. The above mention aspect combined with the limited research that has been conducted on insurers’ asset allocation and the performance of it resulted in the following research question: Does asset allocation impact insurance company's performance? The question focuses on insurers within the European Union (EU) which is enlarged by the European Economic Area (EEA) and Switzerland, where performance is measured as the return on investment (ROI). To answer the research question in the best possible way, relevant theories such as Modern Portfolio Theory or Efficient Market Hypothesis are presented and discussed as well as previous research on asset allocation. Earlier studies about asset allocation policy and its power to explain the investment return came to different conclusions which can be due to variation in the interpretation of the findings or difficulties by distinguishing between asset allocation policy and active asset allocation. Census is used to investigate in the topic as the population of listed insurance companies within the selected region was rather small which finally came down to 42 firms due to the timeframe of 11 years. Data regarding insurer’s asset class weights in debt securities, equity, real estate, derivatives, cash and equivalent, loans and receivables and the category of others were collected. The return on investment was also collected for each year of the time period and for each insurance company. Benchmarks were constructed in order to replicate what the return of a passive investment of the same proportion would have yielded. The result was inconclusive as it was not possible to determine if asset allocation policy or active management have the greatest impact on the return on investment. This is contradicting previous research of asset allocation and performance as researchers have found that asset allocation policy explains most or all of the return.
17
Niebuhr, Philippe. "Branchenstrategien in der integrierten Asset-Allocation /". [S.l.] : [s.n.], 2001. http://aleph.unisg.ch/hsgscan/hm00151707.pdf.
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Čumova, Denisa. "Asset Allocation Based on Shortfall Risk". Doctoral thesis, Universitätsbibliothek Chemnitz, 2005. http://nbn-resolving.de/urn:nbn:de:swb:ch1-200500848.
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In der Dissertation wurde ein innovatives Portfoliomodell entwickelt, welches den Präferenzen einer großen Gruppe von Investoren entspricht, die mit der traditionellen Portfolio Selektion auf Basis von Mittelwertrendite und Varianz nicht zufrieden sind. Vor allem bezieht sich die Unzufriedenheit auf eine sehr spezifische Definition der Risiko- und Wertmaße, die angenommene Nutzenfunktion, die Risikodiversifizierung sowie die Beschränkung des Assetuniversums. Dies erschwert vor allem die Optimierung der modernen Finanzprodukte. Das im Modell verwendete Risikomaß-Ausfallrisiko drückt die Präferenzen der Investoren im Bereich unterhalb der Renditebenchmark aus. Die Renditenabweichung von der Benchmark nach oben werden nicht, wie im Falle des Mittelwertrendite-Varianz-Portfoliomodells, minimiert oder als risikoneutral, wie bei dem Mittelwertrendite-Ausfallrisiko-Portfoliomodell, betrachtet. Stattdessen wird ein Wertmaß, das Chance-Potenzial (Upper Partial Moment), verwendet, mit welchem verschiedene Investorenwünsche in diesem Bereich darstellbar sind. Die Eliminierung der Annahme der normalverteilten Renditen in diesem Chance-Potenzial-Ausfallrisiko-Portfoliomodell erlaubt eine korrekte Asset Allokation auch im Falle der nicht normalverteilten Renditen, die z. B. Finanzderivate, Aktien, Renten und Immobilien zu finden sind. Bei diesen tendiert das traditionelle Mittelwertrendite-Varianz-Portfoliomodell zu suboptimalen Entscheidungen. Die praktische Anwendung des Chance-Potenzial-Ausfallrisiko-Portfoliomodells wurde am Assetuniversum von Covered Calls, Protective Puts und Aktien gezeigtThis thesis presents an innovative portfolio model appropriate for a large group of investors which are not content with the asset allocation with the traditional, mean return-variance based portfolio model above all in term of its rather specific definition of the risk and value decision parameters, risk diversification, related utility function and its restrictions imposed on the asset universe. Its modifiable risk measure – shortfall risk – expresses variable risk preferences below the return benchmark. The upside return deviations from the benchmark are not minimized as in case of the mean return-variance portfolio model or considered risk neutral as in the mean return-shortfall risk portfolio model, but employs variable degrees of the chance potential (upper partial moments) in order to provide investors with broader range of utility choices and so reflect arbitrary preferences. The elimination of the assumption of normally distributed returns in the chance potential-shortfall risk model allows correct allocation of assets with non-normally distributed returns as e.g. financial derivatives, equities, real estates, fixed return assets, commodities where the mean-variance portfolio model tends to inferior asset allocation decisions. The computational issues of the optimization algorithm developed for the mean-variance, mean-shortfall risk and chance potential-shortfall risk portfolio selection are described to ease their practical application. Additionally, the application of the chance potential-shortfall risk model is shown on the asset universe containing stocks, covered calls and protective puts
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Douglass, Julian James. "Nonparametric portfolio estimation and asset allocation". Thesis, University of British Columbia, 2009. http://hdl.handle.net/2429/5414.
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This thesis comprises two essays that apply nonparametric methods to the estimation of portfolio allocations.
In the first essay, I test the significance to investor welfare of (i) adding additional assets to the portfolio choice set and (ii) conditioning on predictor variables.
I estimate unconditional and conditional optimal allocations of a constant relative risk aversion investor by maximizing a nonparametric approximation of the expected utility integral. Investors can improve their expected utility significantly over that of an equities and cash investor by adding portfolios based on the value or momentum premiums into their asset allocation decision. In contrast, neither a size premium portfolio nor a long-term bond portfolio improves expected utility.
The significance of predictability is increased by simultaneously conditioning on the two strongest predictors (of eight) studied: the term spread and the gold industry trend.
In the second essay, I formulate a nonparametric estimator that permits combining historical data with a qualitative prior. I investigate the impact of an investor belief, motivated by asset-pricing theory, that optimal allocations are positive. In the estimator construction, I use a Bayesian approach to perturb the probabilities associated with each data point in the empirical distribution to reflect qualitative prior beliefs.
In a simulation study and in out-of-sample tests, I find that portfolio estimates conditioned on a belief in the positivity of portfolio weights are significantly more stable than those estimated by an uninformed investor, and that the model performs better in out-of-sample tests than a number of plug-in models. However, the out-of-sample performance lags that of the
minimum-variance and 1/N policies.
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許偉才 i Wai-choi Hui. "Optimal asset allocation under GARCH model". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2000. http://hub.hku.hk/bib/B31222717.
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Tobelem-Foldvari, Sandrine. "Robust asset allocation under model ambiguity". Thesis, London School of Economics and Political Science (University of London), 2010. http://etheses.lse.ac.uk/262/.
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A decision maker, when facing a decision problem, often considers several models to represent the outcomes of the decision variable considered. More often than not, the decision maker does not trust fully any of those models and hence displays ambiguity or model uncertainty aversion. In this PhD thesis, focus is given to the specific case of asset allocation problem under ambiguity faced by financial investors. The aim is not to find an optimal solution for the investor, but rather come up with a general methodology that can be applied in particular to the asset allocation problem and allows the investor to find a tractable, easy to compute solution for this problem, taking into account ambiguity. This PhD thesis is structured as follows: First, some classical and widely used models to represent asset returns are presented. It is shown that the performance of the asset portfolios built using those single models is very volatile. No model performs better than the others consistently over the period considered, which gives empirical evidence that: no model can be fully trusted over the long run and that several models are needed to achieve the best asset allocation possible. Therefore, the classical portfolio theory must be adapted to take into account ambiguity or model uncertainty. Many authors have in an early stage attempted to include ambiguity aversion in the asset allocation problem. A review of the literature is studied to outline the main models proposed. However, those models often lack flexibility and tractability. The search for an optimal solution to the asset allocation problem when considering ambiguity aversion is often difficult to apply in practice on large dimension problems, as the ones faced by modern financial investors. This constitutes the motivation to put forward a novel methodology easily applicable, robust, flexible and tractable. The Ambiguity Robust Adjustment (ARA) methodology is theoretically presented and then tested on a large empirical data set. Several forms of the ARA are considered and tested. Empirical evidence demonstrates that the ARA methodology improves portfolio performances greatly. Through the specific illustration of the asset allocation problem in finance, this PhD thesis proposes a new general methodology that will hopefully help decision makers to solve numerous different problems under ambiguity.
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SILVA, THUENER ARMANDO DA. "OPTIMIZATION UNDER UNCERTAINTY FOR ASSET ALLOCATION". PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2015. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=26187@1.
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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROCONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO
A alocação de ativos é uma das mais importantes decisões financeiras para investidores. No entanto, as decisões humanas não são totalmente racionais. Sabemos que as pessoas cometem muitos erros sistemáticos como, excesso de confiança, aversão à perda irracional e mau uso da informação entre outros. Nesta tese desenvolvemos duas metodologias distintas para enfrentar esse problema. A primeira abordagem é qualitativa, utiliza o modelo de Black-Litterman e tenta mapear a visão que o investidor tem do mercado. Esse método tenta mitigar a irracionalidade na tomada de decisão tornando mais fácil para um investidor demonstrar suas preferências em relação aos ativos. Black e Litterman desenvolveram um método para otimização de carteiras com a proposta de melhorar o modelo Markowitz, utilizando a construção de visões para representar a opinião do investidor sobre o futuro. No entanto, a forma de construir essas visões é bastante confusa e exige que o investidor estime vários parâmetros que são subjetivos. Assim, propomos uma nova forma de criar essas visões, utilizando Análise Verbal de Decisão. A segunda pesquisa envolve métodos quantitativos para resolver o problema de alocação de ativos com múltiplos estágios com premissas mais realistas. Embora a Programação Dinâmica Dual Estocástica (PDDE) seja uma técnica promissora para a solução de problemas de grande porte, não é adequada para o problema de alocação de ativos devido à dependência temporal associada aos retornos dos ativos. PDDE assume que o processo estocástico tem independência por estágio assegurando uma função única de custo futuro para cada estágio. No problema de alocação de ativos, a dependência do tempo é tipicamente não-linear e no lado esquerdo, o que torna PDDE tradicional não aplicável. Propomos uma variação do PDDE usando modelo oculto de Markov com estados discretos para resolver problemas reais de alocação de ativos com múltiplos períodos e dependência no tempo. Ambas as abordagens foram testadas em dados reais e empiricamente analisadas. As principais contribuições são as metodologia desenvolvidas para simplificar a construção de portfólios e para resolver o problema de alocação de ativos com múltiplos estágios.
Asset allocation is one of the most important financial decisions made by investors. However, human decisions are not fully rational, and people make several systematic mistakes due to overconfidence, irrational loss aversion and misuse of information, among others. In this thesis, we developed two distinct methodologies to tackle this problem. The first approach has a more qualitative view, trying to map the investor s vision of the market. It tries to mitigate irrationality in decision-making by making it easier for an investor to demonstrate his/her preferences for specirfic assets. This first research uses the Black-Litterman model to construct portfolios. Black and Litterman developed a method for portfolio optimization as an improvement over the Markowitz model. They suggested the construction of views to represent an investor s opinion about future stocks returns. However, constructing these views has proven difficult, as it requires the investor to quantify several subjective parameters. This work investigates a new way of creating these views by using Verbal Decision Analysis. The second research focuses on quantitative methods to solve the multistage asset allocation problem. More specifically, it modifies the Stochastic Dynamic Dual Programming (SDDP) method to consider real asset allocation models. Although SDDP is a consolidated solution technique for large-scale problems, it is not suitable for asset allocation problems due to the temporal dependence of returns. Indeed, SDDP assumes a stagewise independence of the random process assuring a unique cost-to-go function for each time stage. For the asset allocation problem, time dependency is typically nonlinear and on the left-hand side, which makes traditional SDDP inapplicable. This thesis proposes an SDDP variation to solve real asset allocation problems for multiple periods, by modeling time dependence as a Hidden Markov Model with concealed discrete states. Both approaches were tested in real data and empirically analyzed. The contributions of this thesis are the methodology to simplify portfolio construction and the methods to solve real multistage stochastic asset allocation problems.
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Kaminski, Kathryn Margaret. "General superposition strategies and asset allocation". Thesis, Massachusetts Institute of Technology, 2007. http://hdl.handle.net/1721.1/40384.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2007.Includes bibliographical references (p. 139-150).
Investors commonly use stopping rules to help them get in and out of their investment positions. Despite their widespread use and support from behavioral finance, there has been little discussion of their impact on portfolio performance in classic portfolio choice theory. In this thesis, I remedy this situation by discussing the performance impact of stopping rules, highlighting the stop-loss rule. Stop-loss rules-predetermined policies that reduce a portfolio's exposure after reaching a certain threshold of cumulative losses-are commonly used by retail and institutional investors to manage the risks of their investments, but have also been viewed with some skepticism by critics who question their efficacy. I develop a simple framework for measuring the impact of stop-loss rules on the expected return and volatility of an arbitrary portfolio strategy, and derive conditions under which stop-loss rules add or subtract value to that portfolio strategy. I show that under the Random Walk Hypothesis, simple 0/1 stop-loss rules always decrease a strategy's expected return, but in the presence of momentum, stop-loss rules can add value. To illustrate the practical relevance of this framework,
(cont.) I provide an empirical analysis of a stop-loss policy applied to a buy-and-hold strategy in U.S. equities, where the stop-loss asset is U.S. long-term government bonds. Using monthly returns data from January 1950 to December 2004, I find that certain stop-loss rules add 50 to 100 basis points per month to the buy-and-hold portfolio during stop-out periods. By computing performance measures for several price processes, including a new regime-switching model that implies periodic "flights-to-quality," I provide a possible explanation for our empirical results and connections to the behavioral finance literature. Consistent with the traditional investor's problem, I discuss a generalization of this approach to general stopping rules, which are superimposed on arbitrary portfolio strategies. I define a stopping utility premium and discuss how uncertainty about the true stochastic process can explain a potential value added or value lost by the use of stopping rules in practice.
by Kathryn Margaret Kaminski.
Ph.D.
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Kollár, Miroslav. "Macrofinance Modeling from Asset Allocation Perspective". Doctoral thesis, Vysoká škola ekonomická v Praze, 2006. http://www.nusl.cz/ntk/nusl-79535.
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The dissertation dealt with the interaction between the macro-economy and financial markets. In the first part of the dissertation I laid down a general case for macro-based active asset allocation. In the main part of my dissertation, after a theoretical introduction to term structure models and macrofinance models, I developed a VAR macrofinance model of the term structure of interest rates for the Czech economy based on the dynamic interpretation of the Nelson-Siegel model, and showed the use of such modeling framework in bond-yield prediction and asset allocation.
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Hui, Wai-choi. "Optimal asset allocation under GARCH model /". Hong Kong : University of Hong Kong, 2000. http://sunzi.lib.hku.hk/hkuto/record.jsp?B2160616X.
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Vita, Marco. "Un modello di asset allocation strategica". Bachelor's thesis, Alma Mater Studiorum - Università di Bologna, 2015. http://amslaurea.unibo.it/8487/.
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La tesi affronta il problema di Finanza Matematica dell'asset allocation strategica che consiste nel processo di ripartizione ottimale delle risorse tra diverse attività finanziarie presenti su un mercato. Sulla base della teoria di Harry Markowitz, attraverso passaggi matematici rigorosi si costruisce un portafoglio che risponde a dei requisiti di efficienza in termini di rapporto rischio-rendimento. Vengono inoltre forniti esempi di applicazione elaborati attraverso il software Mathematica.
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FARAGALLI, ANDREA. "Asset Allocation e Copulae Multivariate Dinamiche". Doctoral thesis, Università Politecnica delle Marche, 2018. http://hdl.handle.net/11566/260233.
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La continua evoluzione dei mercati finanziari ha portato, nel corso degli ultimi decenni, alla creazione di diverse tecniche per lo studio e la gestione dei rischi assunti dagli operatori finanziari nel corso delle loro attività di investimento. Il rischio di mercato, in ambito finanziario, e spesso inteso come la variabilità dei
rendimenti degli strumenti finanziari nel corso del tempo. L'elemento cardine di molti lavori empirici, e l'assunzione di normalità delle distribuzioni dei rendimenti dei diversi asset finanziari e della loro distribuzione congiunta. Tale assunzione risulta, però, essere estremamente semplificatrice della realtà, infatti le serie dei rendimenti presentano spesso distribuzioni asimmetriche e leptocurtiche. All'interno della letteratura esistente sui modelli di asset allocation, costruiti sotto l'assunzione di non-normalità dei rendimenti, possiamo distinguere tre diversi filoni: il primo riguarda l'utilizzo di modelli regime switching, il secondo comprende i modelli GARCH con distribuzioni delle innovazioni non normali, ed il terzo si sviluppa intorno allo strumento statistico delle Copulae. La Copula viene vista spesso come funzione di dipendenza ed e lo strumento più flessibile di costruzione di funzioni di distribuzioni multivariate in quanto permette di legare tra loro variabili che possiedono funzioni di distribuzione
marginali differenti. L'elevata variabilità delle serie dei rendimenti produce degli eetti anche all'interno della struttura di dipendenza, pertanto, l'assunzione di una struttura di dipendenza costante nel tempo risulta essere estremamente semplificatrice della realtà. Per tale ragione questo lavoro introduce un nuovo metodo di costruzione
di copulae multivariate dinamiche utilizzando il meccanismo PCC considerando una struttura di dipendenza dinamica nel tempo. Lo studio viene condotto sulla copula multivariata Regular-Vine (R-Vine) dove la struttura di dipendenza e guidata da una metodologia Generalized Autoregressive Score (GAS). Tale modello viene applicato all'interno di tecniche di asset allocation andando ad indagare se l'utilizzo di un modello con copula multivariata dinamica possa avere una qualche utilità nella scelta dei pesi di un portafoglio azionario.The continuous evolution of financial markets have led to the creation of different techniques of risk management and asset allocation. Market risk is often understood as the variability of time series of returns. The key factor of several empirical studies is the assumption of normally distributed financial returns. Nevertheless the distributions of time series of returns are often asymmetric and leptokurtic. The literature on asset allocation models constructed under the assumption of non-normally distributed financial returns can be divided in 3 different strands: the first regards the regime switching models, the second includes GARCH models with non-normally distribution of innovations and the third ones the use of Copulae. Copula is a statistical tool that can isolate and capture the full structure of dependence contained in every joint distribution function. In a context of high variability in financial series of returns, the assumption of time-invariant structure of dependence may be too strong. For this reason, I introduce a new method of dynamic multivariate copula construction by using the Pair Copula Construction mechanism. The study focuses on Regular Vine Copula with dependence structure guided by a Generalize Autoregressive Score model. The model is applied on 17 series of stock returns listed on FTSE-MIB market. In order to reduce the computational complexity, it is also investigated the possibility of implementing a truncated R-vine copula. The last chapter of this work presents an empirical application in a portfolio optimization.
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Mendecka, Magda. "The asset allocation puzzle with special reference to the asset allocations of financial advisors in South Africa". Master's thesis, University of Cape Town, 2006. http://hdl.handle.net/11427/5875.
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Rey, David. "Stock market predictability and tactical asset allocation /". [S.l. : s.n.], 2004. http://www.gbv.de/dms/zbw/470721448.pdf.
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Zhang, Jin. "Innovations in asset allocation with optimization heuristics". Thesis, University of Essex, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.522094.
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Rudman, Wilber. "Post-retirement planning : asset allocation / W. Rudman". Thesis, North-West University, 2009. http://hdl.handle.net/10394/4787.
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The purpose of the study is to investigate optimal asset allocation as a means of minimising the investment risk, drawdown risk and longevity risk associated with an investment linked living annuity. The three risk elements were tested for various categories of retirees investing the full retirement savings amount in a living annuity. At first the paper examines the South African public's current pre-retirement savings habits, propensity to save and knowledge on the financial industry. The literature concludes that very few people are saving adequately for retirement, thus leaving a gap between required retirement savings capital and accumulated retirement savings capital. As a consequence, retirees have to take on more risk, usually in the form of equity exposure, (only available in an investment linked living annuity) or delaying retirement, to try and breach the gap. Secondly the paper examines the constructs in developing an optimal asset allocation. An analysis of the constructs includes risk versus return relationships for retirees, various unit trust sectors and portfolios within the South African financial market, the investment horizon also stated as the life expectancy of a retiree and withdrawal strategies applied by investors or retirees.
The practical data and theory from the literature study formed the basis of the empirical study where different retirement savings balances were tested at various drawdown rates and asset allocations in an investment linked living annuity. The study concluded that retirees have to consider, among other factors, the required standard of living (stated as a net replacement ratio), the need to withdraw one third of the retirement capital and life expectancy before investing in an investment linked living annuity. These factors will have the biggest influence on the risks associated with an investment linked living annuity. Furthermore, the study concluded that an optimal asset allocation would be able to support a retiree during the post-retirement phase. A well diversified portfolio with a minimum of 50% allocation towards equity and property assets seems to be optimal.Thesis (M.B.A.)--North-West University, Vaal Triangle Campus, 2010.
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Madebrink, Erika. "Break Point Detection for Strategic Asset Allocation". Thesis, KTH, Matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-244051.
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This paper focuses on how to improve strategic asset allocation in practice. Strategic asset allocation is perhaps the most fundamental issue in portfolio management and it has been thoroughly discussed in previous research. We take our starting point in the traditional work of Markowitz within portfolio optimization. We provide a new solution of how to perform portfolio optimization in practice, or more specifically how to estimate the covariance matrix, which is needed to perform conventional portfolio optimization. Many researchers within this field have noted that the return distribution of financial assets seems to vary over time, so called regime switching, which makes it dicult to estimate the covariance matrix. We solve this problem by using a Bayesian approach for developing a Markov chain Monte Carlo algorithm that detects break points in the return distribution of financial assets, thus enabling us to improve the estimation of the covariance matrix. We find that there are two break points during the time period studied and that the main difference between the periods are that the volatility was substantially higher for all assets during the period that corresponds to the financial crisis, whereas correlations were less affected. By evaluating the performance of the algorithm we find that the algorithm can increase the Sharpe ratio of a portfolio, thus that our algorithm can improve strategic asset allocation over time.Detta examensarbete fokuserar på hur man kan förbättra tillämpningen av strategisk tillgångsslagsallokering i praktiken. Hur man allokerar kapital mellan tillgångsslag är kanske de mest fundamentala beslutet inom kapitalförvaltning och ämnet har diskuterats grundligt i litteraturen. Vårt arbete utgår från Markowitz traditionella teorier inom portföljoptimering och utifrån dessa tar vi fram ett nytt angreppssätt för att genomföra portföljoptimering i praktiken. Mer specifikt utvecklar vi ett nytt sätt att uppskatta kovar-iansmatrisen för avkastningsfördelningen för finansiella tillgångar, något som är essentiellt för att kunna beräkna de optimala portföljvikterna enligt Markowitz. Det påstås ofta att avkastningens fördelning förändras över tid; att det sker så kallade regimskiften, vilket försvårar uppskattningen av kovariansmatrisen. Vi löser detta problem genom att använda ett Bayesiansk angreppssätt där vi utvecklar en Markov chain Monte Carlo-algoritm som upptäcker brytpunkter i avkastningsfördelningen, vilket gör att uppskattningen av kovar-iansmatrisen kan förbättras. Vi finner två brytpunkter i fördelningen under den studerade tidsperioden och den huvudsakliga skillnaden mellan de olika tidsperioderna är att volatiliten var betydligt högre för samtliga tillgångar under den tidsperiod som motsvaras av finanskrisen, medan korrelationerna mellan tillgångsslagen inte påverkades lika mycket. Genom att utvärdera hur algoritmen presterar finner vi att den ökar en portföljs Sharpe ratio och således att den kan förbättra den strategiska allokeringen mellan tillgångsslagen över tid.
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Middleton, Laun Peter. "Topics in quantitative asset pricing and allocation". Thesis, University of Cambridge, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.620217.
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Galane, Lesiba Charles. "The risk parity approach to asset allocation". Thesis, Stellenbosch : Stellenbosch University, 2014. http://hdl.handle.net/10019.1/95974.
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Thesis (MSc)--Stellenbosch University, 2014.ENGLISH ABSTRACT: We consider the problem of portfolio's asset allocation characterised by risk and return. Prior to the 2007-2008 financial crisis, this important problem was tackled using mainly the Markowitz mean-variance framework. However, throughout the past decade of challenging markets, particularly for equities, this framework has exhibited multiple drawbacks. Today many investors approach this problem with a 'safety first' rule that puts risk management at the heart of decision-making. Risk-based strategies have gained a lot of popularity since the recent financial crisis. One of the 'trendiest' of the modern risk-based strategies is the Risk Parity model, which puts diversification in terms of risk, but not in terms of dollar values, at the core of portfolio risk management. Inspired by the works of Maillard et al. (2010), Bruder and Roncalli (2012), and Roncalli and Weisang (2012), we examine the reliability and relationship between the traditional mean-variance framework and risk parity. We emphasise, through multiple examples, the non-diversification of the traditional mean-variance framework. The central focus of this thesis is on examining the main Risk-Parity strategies, i.e. the Inverse Volatility, Equal Risk Contribution and the Risk Budgeting strategies. Lastly, we turn our attention to the problem of maximizing the absolute expected value of the logarithmic portfolio wealth (sometimes called the drift term) introduced by Oderda (2013). The drift term of the portfolio is given by the sum of the expected price logarithmic growth rate, the expected cash flow, and half of its variance. The solution to this problem is a linear combination of three famous risk-based strategies and the high cash flow return portfolio.
AFRIKAANSE OPSOMMING: Ons kyk na die probleem van batetoewysing in portefeuljes wat gekenmerk word deur risiko en wins. Voor die 2007-2008 finansiele krisis, was hierdie belangrike probleem deur die Markowitz gemiddelde-variansie raamwerk aangepak. Gedurende die afgelope dekade van uitdagende markte, veral vir aandele, het hierdie raamwerk verskeie nadele getoon. Vandag, benader baie beleggers hierdie probleem met 'n 'veiligheid eerste' reël wat risikobestuur in die hart van besluitneming plaas. Risiko-gebaseerde strategieë het baie gewild geword sedert die onlangse finansiële krisis. Een van die gewildste van die moderne risiko-gebaseerde strategieë is die Risiko- Gelykheid model wat diversifikasie in die hart van portefeulje risiko bestuur plaas. Geïnspireer deur die werke van Maillard et al. (2010), Bruder and Roncalli (2012), en Roncalli and Weisang (2012), ondersoek ons die betroubaarheid en verhouding tussen die tradisionele gemiddelde-variansie raamwerk en Risiko- Gelykheid. Ons beklemtoon, deur middel van verskeie voorbeelde, die niediversifikasie van die tradisionele gemiddelde-variansie raamwerk. Die sentrale fokus van hierdie tesis is op die behandeling van Risiko-Gelykheid strategieë, naamlik, die Omgekeerde Volatiliteit, Gelyke Risiko-Bydrae en Risiko Begroting strategieë. Ten slotte, fokus ons aandag op die probleem van maksimering van absolute verwagte waarde van die logaritmiese portefeulje welvaart (soms genoem die drif term) bekendgestel deur Oderda (2013). Die drif term van die portefeulje word gegee deur die som van die verwagte prys logaritmiese groeikoers, die verwagte kontantvloei, en die helfte van die variansie. Die oplossing vir hierdie probleem is 'n lineêre kombinasie van drie bekende risiko-gebaseerde strategieë en die hoë kontantvloei wins portefeulje.
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Rodrigues, Marco Antônio. "Pension funds asset allocation : an international analysis". Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/19359.
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Mestrado em Economia Monetária e FinanceiraEsta dissertação sugere novas ideias na questão essencial sobre alocação de ativos de fundos de pensão e sua consistência com as premissas fundamentais da teoria econômica. A pesquisa consiste em uma confirmação empírica através de cálculos de regressão linear, em que a taxa de retorno do investimento foi estabelecida como variável central e dependente das variáveis indicativas de alocação de ativos em ações e alocação de ativos em títulos, utilizando dados de dez anos, especificamente para o período de 2008 a 2017 e, posteriormente, recalculando por um período mais longo de quinze anos, ou seja, de 2003 a 2017. Os resultados mais confiáveis sugerem que, para um grupo específico de países, onde os fundos de pensão de benefício definido (DB) representam a maioria dos ativos, em um cenário de longo prazo com danos de crise difundidos, é possível construir um modelo explicativo onde a taxa de retorno do investimento responde positivamente à maior alocação de ativos em ações. No entanto, esse achado é invertido quando consideramos os desequilíbrios e distorções no mercado resultantes de crises financeiras. Ainda para esse grupo específico de países, uma maior oferta de títulos, mais perdas nas bolsas de valores podem levar ao reequilíbrio da carteira, com melhores resultados nesse caso para alocação de ativos em títulos e obrigações.
This dissertation provides new insights on the essential question about pension fund asset allocation and its consistency with the fundamental economic theory assumptions. The research consists of an empirical confirmation through linear regression calculations, where the investment rate of return was established as the central variable and dependent on the indicative variables of asset allocation in equity and asset allocation in bills and bonds, using ten years' worth of data, specifically for the period from 2008 to 2017 and hereinafter recalculating for a longer period of fifteen years, i.e. from 2003 to 2017. The most reliable results suggest that for a specific group of countries, where defined benefit (DB) type of pension funds represents the majority of assets, in a long-term scenario with widespread crisis damage, it is possible to construct an explanatory model where the investment rate of return responds positively to higher asset allocation in equity. Nonetheless, this finding is inverted when we consider the imbalances and distortions in the market resulting from financial crises. Still for this specific group of countries, higher bonds supply plus losses in stock markets may lead to portfolio rebalancing, with better results in this case for assets allocation in bonds.
info:eu-repo/semantics/publishedVersion
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Chetouane, Mabrouk. "Strategic asset allocation for DC plan members". Paris 9, 2011. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=2011PA090081.
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Mahoney, Kevin. "Asset allocation in the South African environment". Master's thesis, University of Cape Town, 2014. http://hdl.handle.net/11427/8552.
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Includes bibliographical references.The aim of this paper is to find solutions to the asset allocation problem in the South African environment. These solutions look at a variety of different investor's preferences. These include an investor's age, risk aversion and required levels of returns. To do this, an analysis was done of prior research, so the most up to date mean-variance asset allocation model could be developed. Returns from 10 different indices, over different asset classes were gathered. The indices of importance were found to be: All Bond Index (ALBI), Inflation Linked All Maturities Index (ILB), Salient's Momentum Active Index Fund (MOME), Salient's Value Active Index Fund (VAL), South African Short Term Fixed Interest Index (STEFI) and South African Property Index (SAPY).
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LOREGIAN, ANGELA. "Multivariate Lèvy models: estimation and asset allocation". Doctoral thesis, Università degli Studi di Milano-Bicocca, 2013. http://hdl.handle.net/10281/49727.
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Multidimensional asset models based on Lévy processes have been introduced to meet the
necessity of capturing market shocks using more refined distribution assumptions compared
to the standard Gaussian framework. In particular, along with accurately modeling
marginal distributions of asset returns, capturing the dependence structure among them
is of paramount importance, for example, to correctly price derivatives written on more
than one underlying asset. Most of the literature on multivariate Lévy models focuses
in fact on pricing multi-asset products, which is also the case of the model introduced in
Ballotta and Bonfiglioli (2014). Believing that risk and portfolio management applications
may benefit from a better description of the joint distribution of the returns as well, we
choose to adopt Ballotta and Bonfiglioli (2014) model for asset allocation purposes and we
empirically test its performances. We choose this model since, besides its flexibility and
the ability to properly capture the dependence among assets, it is simple, relatively parsimonious
and it has an immediate and intuitive interpretation, retaining a high degree
of mathematical tractability. In particular we test two specifications of the general model,
assuming respectively a pure jump process, more precisely the normal inverse Gaussian
process, or a jump-diffusion process, precisely Merton’s jump-diffusion process, for all the
components involved in the model construction.
To estimate the model we propose a simple and easy-to-implement three-step procedure,
which we assess via simulations, comparing the results with those obtained through
a more computationally intensive one-step maximum likelihood estimation.
We empirically test portfolio construction based on multivariate Lévy models assuming
a standard utility maximization framework; for the exponential utility function we
get a closed form expression for the expected utility, while for other utility functions (we
choose to test the power one) we resort to numerical approximations.
Among the benchmark strategies, we consider in our study what we call a ‘non-parametric
optimization approach’, based on Gaussian kernel estimation of the portfolio return distribution,
which to our knowledge has never been used.
A different approach to allocation decisions aims at minimizing portfolio riskiness requiring
a minimum expected return. Following Rockafellar and Uryasev (2000), we describe
how to solve this optimization problem in our multivariate Lévy framework, when
risk is measured by CVaR. Moreover we present formulas and methods to compute, as efficiently
as possible, some downside risk measures for portfolios made of assets following
the multivariate Lévy model by Ballotta and Bonfiglioli (2014). More precisely, we consider
traditional risk measures (VaR and CVaR), the corresponding marginal measures,
which evaluate their sensibility to portfolio weights alterations, and intra-horizon risk
measures, which take into account the magnitude of losses that can incur before the end
of the investment horizon. Formulas for CVaR in monetary terms and marginal measures,
together with our approach to evaluate intra-horizon risk, are among the original
contributions of this work.
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Charpentier, Carl-Emil, i Somnell Erik Allenius. "Asset Allocation under Solvency II : The impact of Solvency II on the asset allocation of Swedish life insurance companies". Thesis, KTH, Industriell ekonomi och organisation (Inst.), 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-98653.
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This thesis investigates the impact of Solvency II on the asset side of Swedish mutual life insurers. With the help of a quantitative analysis and a qualitative examination of our results we find that there will be a significant change in demand for certain products. A substantial increase in demand for government bonds and interest rate swaps with long maturities should be expected. Furthermore, both corporate and covered bonds will be more attractive investments under the new regulatory framework. Another big impact is the lower risk-adjusted return for equity, which over time will lead to a reduction in Swedish life insurers’ relatively high exposure to equity and equity based products. Furthermore, we conclude that there are large gains to be made by incorporating an optimization with regard to the solvency capital requirements dictated by the legislative texts.Denna uppsats har undersökt vilken inverkan Solvens II kommer ha på svenska ömsesidiga livbolags tillgångssidor. Med hjälp av en kvantitativ analys och en kvalitativ undersökning av våra resultat har vi funnit att det kommer ske en betydande förändring i efterfrågan av vissa instrument. En stor ökning på efterfrågan av statsobligationer och ränteswappar med långa löptider är att vänta. Dessutom kommer både företags- och säkerställda obligationer vara betydligt mer attraktiva investeringsalternativ under det nya regelverket. En annan stor inverkan är den lägre riskjusterade avkastningen för aktier och aktierelaterade produkter. Över tid kommer detta sannolikt leda till en reduktion av svenska livbolags relativt höga exponering har gentemot aktier. Därutöver finner vi att bolagen har mycket att vinna på att införliva en optimering med avseende på de av regelverket angivna kapitalkraven.
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Lekander, Jon. "Institutional Real Investments : Real Estate in a Multi-Asset Portfolio". Doctoral thesis, KTH, Bygg- och fastighetsekonomi, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-196536.
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The purpose of this thesis is to analyze real estate investments from the vantage point of an institutional multi asset investor perspective, both in terms of the potential benefits real estate can bring as well as the challenges it can pose. The thesis consists of six papers and approaches the research question from three distinct perspectives. The quantitative papers consists of paper 1 and 5. Paper 1 analyses the portfolio characteristics of domestic and international real estate in a mean variance framework over seven investor domiciles. It is found that the optimal allocation to real estate is in the range of 15-25 percent depending on domicile of the investor. The fifth paper expands the analysis in paper one by expanding the data. Furthermore, the analysis is extended to investigate how the structure of the real estate portfolio can support a diversification objectives best. Papers 2, 3 and 4 are the market related papers. Paper 2 compares the suggested allocation weights with the allocation to real estate of institutions in four countries, and finds that the actual allocation is significantly lower and that all investor domiciles have a significant home bias. The third paper discusses changes in the institutional framework of real estate markets and the size of the investment universe. Paper 4 discusses various entry points to the real estate market, and how an investor can utilize these in order to adjust the characteristics of the real estate portfolio. The sixth and last paper is qualitative, and investigates how institutions managing pension capital handle real estate. QC 20161115
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Skaanes, Stephan. "Einflussfaktoren auf die strategische Asset Allocation Schweizer Pensionskassen". Bern Stuttgart Wien Haupt, 2005. http://d-nb.info/974029858/04.
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Trolle, Anders Bjerre. "Essays on derivatives pricing and dynamic asset allocation /". København, 2007. http://www.gbv.de/dms/zbw/543401952.pdf.
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Shim, Kyung Hwan. "Non tradeable human capital and household asset allocation". Thesis, University of British Columbia, 2009. http://hdl.handle.net/2429/12270.
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This thesis is comprised of two essays that investigate household consumption and portfolio choices in dynamic life cycle frameworks.
In the first essay, I explain that stock market participation and stockholding are increasing in the level of education and financial wealth without relying on commonly used assumptions about differences in the cost of processing financial information among households. The key aspects of the model are recursive preferences, education attainment and stock market participation. Households with low risk aversion and high elasticity of intertemporal substitution (EIS) are more likely to exercise their education option, accumulate large wealth, invest in stock markets and invest heavily in stocks. These findings are consistent with three separate, but related, strands of the literature on i) household asset holding, ii) utility preferences based on household level financial data, and iii) utility preferences and education attainment. I find that, consistent with these studies, better educated households accumulate more financial wealth, hold a larger fraction of wealth in equity, have a higher EIS and are less risk averse than their less educated counterparts.
In the second essay, I investigate the fact that the fraction of financial wealth invested in equity is increasing in financial wealth in the cross section of households, a known fact that contradicts existing theories in the literature. I show that the contemporaneous positive correlation between human capital and financial wealth values is increasing in the persistence of labor income shocks. While human capital and financial wealth independently have opposing direct effects on equity shares, human capital effects dominate if labor income shocks are highly persistent, generating increasing equity shares in financial wealth. Both a simple model and a realistically calibrated life cycle model of consumption and portfolio choice are shown to generate the results. The predictions are supported empirically using data from Panel Study of Income Dynamics. The essay shows that rising equity shares in financial wealth is a consequence of persistence in labor income shocks and its effects on the joint distribution of human capital, financial wealth accumulation and wealth composition in the cross section, and not a consequence of financial wealth effects alone, as commonly assumed.
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Nguyen, Anh Thi Hoang. "Long memory conditional volatility and dynamic asset allocation". Thesis, University of Exeter, 2011. http://hdl.handle.net/10036/3279.
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The thesis evaluates the benefit of allowing for long memory volatility dynamics in forecasts of the variance-covariance matrix for asset allocation. First, I compare the forecast performance of multivariate long memory conditional volatility models (the long memory EWMA, long memory EWMA-DCC, FIGARCH-DCC and Component GARCH-DCC models) with that of short memory conditional volatility models (the short memory EWMA and GARCH-DCC models), using the asset allocation framework of Engle and Colacito (2006). The research reports two main findings. First, for longer horizon forecasts, long memory volatility models generally produce forecasts of the covariance matrix that are statistically more accurate and informative, and economically more useful than those produced by short memory volatility models. Second, the two parsimonious long memory EWMA models outperform the other models – both short memory and long memory – in a majority of cases across all forecast horizons. These results apply to both low and high dimensional covariance matrices with both low and high correlation assets, and are robust to the choice of estimation window. The research then evaluates the application of multivariate long memory conditional volatility models in dynamic asset allocation, applying the volatility timing procedure of Fleming et al. (2001). The research consistently identifies the economic gains from incorporating long memory volatility dynamics in investment decisions. Investors are willing to pay to switch from the static to the dynamic strategies, and especially from the short memory volatility timing to the long memory volatility timing strategies across both short and long investment horizons. Among the long memory conditional volatility models, the two parsimonious long memory EWMA models, again, generally produce the most superior portfolios. When transaction costs are taken into account, the gains from the daily rebalanced dynamic portfolios deteriorate; however, it is still worth implementing the dynamic strategies at lower rebalancing frequencies. The results are robust to estimation error in expected returns, the choice of risk aversion coefficients and the use of a long-only constraint. To control for estimation error in forecasts of the long memory high dimensional covariance matrix, the research develops a dynamic long memory factor (the Orthogonal Factor Long Memory, or OFLM) model by embedding the univariate long memory EWMA model of Zumbach (2006) into an orthogonal factor structure. The factor-structured OFLM model is evaluated against the six above multivariate conditional volatility models in terms of forecast performance and economic benefits. The results suggest that the OFLM model generally produces impressive forecasts over both short and long forecast horizons. In the volatility timing framework, portfolios constructed with the OFLM model consistently dominate the static and other dynamic volatility timing portfolios in all rebalancing frequencies. Particularly, the outperformance of the factor-structured OFLM model to the fully estimated LM-EWMA model confirms the advantage of the factor structure in reducing estimation error. The factor structure also significantly reduces transaction costs, making the dynamic strategies more feasible in practice. The dynamic factor long memory volatility model also consistently produces more superior portfolios than those produced by the traditional unconditional factor and the dynamic factor short memory volatility models.
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Zhou, Xinfeng. "Application of robust statistics to asset allocation models". Thesis, Massachusetts Institute of Technology, 2006. http://hdl.handle.net/1721.1/36231.
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Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2006.Includes bibliographical references (p. 105-107).
Many strategies for asset allocation involve the computation of expected returns and the covariance or correlation matrix of financial instruments returns. How much of each instrument to own is determined by an attempt to minimize risk (the variance of linear combinations of investments in these financial assets) subject to various constraints such as a given level of return, concentration limits, etc. The expected returns and the covariance matrix contain many parameters to estimate and two main problems arise. First, the data will very likely have outliers that will seriously affect the covariance matrix. Second, with so many parameters to estimate, a large number of observations are required and the nature of markets may change substantially over such a long period. In this thesis we use robust covariance procedures, such as FAST-MCD, quadrant-correlation-based covariance and 2D-Huber-based covariance, to address the first problem and regularization (Bayesian) methods that fully utilize the market weights of all assets for the second. High breakdown affine equivariant robust methods are effective, but tend to be costly when cross-validation is required to determine regularization parameters.
(cont.) We, therefore, also consider non-affine invariant robust covariance estimation. When back-tested on market data, these methods appear to be effective in improving portfolio performance. In conclusion, robust asset allocation methods have great potential to improve risk-adjusted portfolio returns and therefore deserve further exploration in investment management research.
by Xinfeng Zhou.
S.M.
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Kostakis, Alexandros. "Essays on dynamic asset allocation and performance measures". Thesis, University of York, 2008. http://etheses.whiterose.ac.uk/11078/.
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The present thesis examines two central issues in financial theory, optimal portfolio choice and investment performance evaluation, when the restrictive assumptions of the traditional static, mean-variance framework of analysis are relaxed. Chapter 2 presents a series of model specifications for the risky asset's returns and the underlying risk factor and derives the corresponding optimal portfolio choices. It shows how important the modelling assumptions are for the implementation of dynamic asset allocation in practice and it contributes to the literature by examining the impact of horizon effects on portfolio choice in the presence of both predictability and stochastic volatility in asset returns. Moreover, this chapter shows how important is the introduction of an asset that completes the market and allows investors to hedge against the shocks that affect their opportunity set, Chapter 3 examines the bond portfolio choice of a long-term investor, making use of a macro-finance term structure model that allows for time-varying risk premia. This chapter shows how important is the failure of the expectations hypothesis for both myopic and long-term investors, since the time-variation in the bond premia dictates a market timing behaviour for investment as well as for hedging purposes. Incorporating macroeconomic information, that plays a significant role in bond pricing, we examine how this can be used for the formation of optimal portfolios by long-term investors. Furthermore, this chapter serves as an evaluation of the very recent term structure models from an asset allocation perspective, drawing the attention to the correlation and the covariance structure of the bond returns. Chapter 4 employs the Harvey-Siddique asset pricing model and evaluates a sample of UK equity unit trusts, proposing the intercept of this model, that is termed as the Harvey-Siddique alpha, as a new performance measure. This asset pricing model adds to the CAPM the returns of a negative coskewness strategy as an extra risk factor. Constructing this factor for the UK stock market, it is shown that negative coskewness bears a high risk premium. This framework allows us to examine how the adoption of specific performance measures generates incentives in fund management. In particular, we provide evidence that fund managers, who are evaluated by mean-variance performance measures, are incentivized to load negative coskewness risk to their portfolios in order to reap the corresponding premium and present it as outperformance. Chapter 5 overviews the contributions of this thesis, discusses the numerous issues that arise from the present results and outlines the following steps in our research agenda.
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Lee, Yai-Shan, i 李艾珊. "Individual investor’s asset allocation". Thesis, 2007. http://ndltd.ncl.edu.tw/handle/30206369466782020690.
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碩士輔仁大學
管理學研究所
95
In this study we use a valuable dataset provided by a renowned fund house covering VIP investors in the sampling period to investigate individual portfolio allocation in risky assets using equity fund investment as the proxy of risky asset and time deposit as the proxy of risk-free asset. We further investigate whether individual characteristics and economic issues are related to individual asset allocation. The result shows that male and young investors allocate a higher proportion in risky assets than female and old investors. The result sustains when using alternative definitions of risky versus risk free asset in calculating the risk ratio. Moreover, we find that the volatility of Asian stock markets that are geographically adjacent to Taiwan is positively correlated to the risk ratio while the volatility of the U.S. and European stock markets are negatively correlated to risk ratio.
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Tsai, Chia-Fen, i 蔡佳芬. "Research in Asset Allocation". Thesis, 2011. http://ndltd.ncl.edu.tw/handle/10338688293652352527.
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博士國立臺灣大學
國際企業學研究所
100
In this thesis, I focus on how the presence of income risks from sources such as performance-based pay or equity incentive contracts influence employees’ and top managers’ portfolio allocations. Firstly, utilizing comprehensive data on investor portfolio holdings and employer information from Taiwan, I provide novel evidence on how employer-level risks influence employees’ portfolio choices. Individuals employed at listed companies with greater return volatilities are less likely to invest in equities in general and in the employer stocks in particular. Consequently, such investors invest a smaller fraction of their financial assets in the stock market and in employer stocks. Secondly, this thesis tests whether a top manager with more diversified equity portfolios is willing to hold a larger share of financial wealth in the employer’s stock compared with a top manager with less diversified equity portfolios. In addition, this paper investigates whether top managers with more diversified equity portfolios are more willing to implement a higher leverage ratio than top managers with less diversified equity portfolios. In the thesis, I propose that the managerial portfolio equity incentive is positively related to the degree of managerial personal diversification. This result confirms that firm risk is an important factor in understanding a manager’s portfolio decisions. In addition, there is a significant and positive relationship between the firm’s debt ratio and the degree of personal diversification among top managers. The evidence gathered in this study supports the conclusion that managerial risk aversion, as well as the perceived firm risk to the manager’s financial wealth, affects firm-level risk reduction decisions.
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Chen, Yung-Chih, i 陳勇志. "Asset Allocation and Money Supply". Thesis, 2011. http://ndltd.ncl.edu.tw/handle/51132121516613792019.
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碩士國立臺灣大學
經濟學研究所
99
The purpose of this paper is to study how the interest rate policy of central bank to affect money supply by way of people’s portfolio choice on monetary assets, such as time deposits and bond fund, taking into account their relative risk aversion fluctuates rather than taking constant overtime. The analysis of this paper is structured on three steps. First of all, specifying the parameters of asset allocation model, including the parameter about people’s preference to risk. Secondly, constructing asset allocation model which should consider the volatility of the preference to risk. Finally, deriving money supply model, and to analyze how people’s decision on asset allocation to affect money supply. The findings show that if people want to adjust their allocation ratios of monetary assets, the outcome may cause monetary base changing. But it is examined with little effect to the multiplier. The negative relationships show that some money, especially under the definition of M2, is vanished by this process. This effect exists but not strong, so it can explain a part of variation of monetary base.
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Yu, hsin hui, i 游欣慧. "Asset allocation under multiple scenarios". Thesis, 1999. http://ndltd.ncl.edu.tw/handle/35895972612403592709.
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碩士國立臺灣大學
財務金融學研究所
87
Mean-Variance optimization is the most common quantitative methodology employed for asset allocation. Under traditional mean-variance optimization techniques, forecasts of the expected return, expected volatility, and expected covariance of the assets are driven by consideration of the average market behavior at some period in the past, which period is chosen more or less arbitrarily. One drawback of this approach is that as world economic conditions and financial markets change, historical averages may not be sufficiently representative of current conditions. Therefore, this thesis sets out as its primary goal to discuss the effects of estimation bias on asset allocation using traditional methods; this study also presents an improved mean-variance optimization technique which takes into consideration a large number of potential return outcomes. We test the effects of estimation bias on asset allocation utilizing traditional methods with domestic assets. We find, however, that the historical patterns of assets are generally unable to anticipate correctly assets'' future moves, especially stock returns. Besides, the average returns chosen from different time periods differ considerably, resulting in unstable efficient frontiers. Scenario-based asset allocation provides the means to overcome these shortcomings. Instead of relying on a single-point forecast, which is in essence a single scenario, through scenario-based asset allocation investors can provide a set of plausible scenarios of future expected returns and diversify their portfolio by taking into account potential return outcomes. In the course of this research we encountered some difficulties, such as the exact definition of future scenarios, or the estimation of probability that certain scenario will happen; these difficulties, however, are discussed in detail and practicable solutions are put forward.