Portfolio Diversification And The Use Of Shrinking
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| Author | : Maja Kuhnell Frederiksen |
| Publisher | : |
| Total Pages | : 162 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
An examination of the performance of the improved estimator of the covariance matrix was conducted on the Danish stock market, the UK stock market and the German stock market. The test results of the Danish and German stock markets revealed a very bad performance of the improved estimator. Even though the levels of the shrinkage intensities were very much in accordance with previous research conducted on the US stock market by Ledoit and Wolf (2003) the improved estimator failed to perform better than the estimated covariance matrix based on Sharpe's (1963) single index model. The test results of the UK stock market were in favor of the improved estimator. The shrinkage intensity yielded an investment strategy that was significantly less volatile than similar strategies based on the traditional sample covariance matrix by Markowitz's (1959) and the single index model. Furthermore, the shrinkage intensity was found to be rather stable over time whereas the shrinkage intensities of the Danish market tended to decrease over time and shrinkage intensities of the German market showed indications of an upward sloping trend. A benchmark test conducted on a small sample of UK stocks showed that the performance of the improved method weakens when the sample size decreases. The weak performance of the improved estimator of Danish and German stock portfolios may therefore have been caused from using too small samples of stocks in the estimation process. Finally the results of the German market may indicate that the improved covariance matrix estimator is sensitive to thin trading.
| Author | : Mr.Garry J. Schinasi |
| Publisher | : International Monetary Fund |
| Total Pages | : 39 |
| Release | : 1999-10-01 |
| Genre | : Business & Economics |
| ISBN | : 1451855796 |
Models of “contagion” rely on market imperfections to explain why adverse shocks in one asset market might be associated with asset sales in many unrelated markets. This paper demonstrates that contagion can be explained with basic portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules do not have significantly different consequences for portfolio rebalancing and contagion than other rules. The paper’s main conclusion is that portfolio diversification and leverage may be sufficient to explain why investors would find it optimal to sell many higher-risk assets when a shock to one asset occurs.
| Author | : Francois-Serge Lhabitant |
| Publisher | : Elsevier |
| Total Pages | : 276 |
| Release | : 2017-09-26 |
| Genre | : Mathematics |
| ISBN | : 0081017863 |
Portfolio Diversification provides an update on the practice of combining several risky investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book, readers will find a comprehensive introduction and analysis of various dimensions of portfolio diversification (assets, maturities, industries, countries, etc.), along with time diversification strategies (long term vs. short term diversification) and diversification using other risk measures than variance. Several tools to quantify and implement optimal diversification are discussed and illustrated. - Focuses on portfolio diversification across all its dimensions - Includes recent empirical material that was created and developed specifically for this book - Provides several tools to quantify and implement optimal diversification
| Author | : G. Gregoriou |
| Publisher | : Springer |
| Total Pages | : 446 |
| Release | : 2015-12-17 |
| Genre | : Business & Economics |
| ISBN | : 0230626505 |
This book addresses the importance of diversification for reducing volatility of investment portfolios. It shows how to improve investment efficiency, and explains how international diversification reduces overall risk while enhancing performance. This book is a crucial tool for any investor looking to improve the profit gain from their investment.
| Author | : Marina Resta |
| Publisher | : MDPI |
| Total Pages | : 234 |
| Release | : 2020-04-02 |
| Genre | : Business & Economics |
| ISBN | : 3039284983 |
At present, computational methods have received considerable attention in economics and finance as an alternative to conventional analytical and numerical paradigms. This Special Issue brings together both theoretical and application-oriented contributions, with a focus on the use of computational techniques in finance and economics. Examined topics span on issues at the center of the literature debate, with an eye not only on technical and theoretical aspects but also very practical cases.
| Author | : Albina Unger |
| Publisher | : Springer |
| Total Pages | : 443 |
| Release | : 2014-09-10 |
| Genre | : Business & Economics |
| ISBN | : 3658072598 |
Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the asset management industry. Albina Unger examines the portfolios based on different risk measures in several aspects from the academic perspective (Utility, Performance, Risk, Different Market Phases, Robustness, and Factor Exposures) to investigate the use of these models for asset allocation. Beside the risk budgeting models, alternatives of risk-based investment styles are also presented and examined. The results show that equalizing the risk across the assets does not prevent losses, especially in crisis periods and the performance can mainly be explained by exposures to known asset pricing factors. Thus, the advantages of these approaches compared to known minimum risk portfolios are doubtful.
| Author | : Investor Insight |
| Publisher | : |
| Total Pages | : 28 |
| Release | : 2017-05-16 |
| Genre | : |
| ISBN | : 9781521282373 |
Nervous about you financial security? Ensure your future financial success with proper market diversification. In this edition of Investor Insight, you will learn the ins and outs of properly diversifying your portfolio, mitigating your investment risk, and maximizing your potential returns. Secure your financial future with diversification today. For more content like this, articles, podcasts, and news visit InvestorInsight.com today.
| Author | : William J. Bernstein |
| Publisher | : McGraw Hill Professional |
| Total Pages | : 225 |
| Release | : 2000-10-13 |
| Genre | : Business & Economics |
| ISBN | : 0071399577 |
Time-Tested Techniques - Safe, Simple, and Proven Effective - for Building Your Own Investment Portfolio. "As its title suggest, Bill Bernstein's fine book honors the sensible principles of Benjamin Graham in the Intelligent Investor Bernstein's concepts are sound, his writing crystal clear, and his exposition orderly. Any reader who takes the time and effort to understand his approach to the crucial subject of asset allocation will surely be rewarded with enhanced long-term returns." - John C. Bogle, Founder and former Chief Executive Officer, The Vanguard Group President, Bogle Financial Markets Research Center Author, common Sense on Mutual Funds. "Bernstein has become a guru to a peculiarly '90s group: well-educated, Internet-powered people intent on investing well - and with minimal 'help' from professional Wall Street." - Robert Barker, Columnist, BusinessWeek. "I go home and tell my wife sometimes, 'I wonder if [Bernstein] doesn't know more than me.' It's humbling." - John Rekenthaler, Research Chief, Morningstar Inc. William Bernstein is an unlikely financial hero. A practicing neurologist, he used his self-taught investment knowledge and research to build one of today's most respected investor's websites. Now, let his plain-spoken The Intelligent Asset Allocator show you how to use the time-honored techniques of asset allocation to build your own pathway to financial security - one that is easy-to-understand, easier-to-apply, and supported by 75 years of solid history and wealth-building results.
| Author | : Theodore Michael Johnson |
| Publisher | : |
| Total Pages | : 148 |
| Release | : 1989 |
| Genre | : Business enterprises |
| ISBN | : |
| Author | : Frank J. Fabozzi |
| Publisher | : John Wiley & Sons |
| Total Pages | : 513 |
| Release | : 2007-04-27 |
| Genre | : Business & Economics |
| ISBN | : 0470164891 |
Praise for Robust Portfolio Optimization and Management "In the half century since Harry Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise for producing a technically rigorous yet remarkably accessible guide to the latest advances in portfolio construction." --Mark Kritzman, President and CEO, Windham Capital Management, LLC "The topic of robust optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This interest has been sparked, in part, by practitioners who implemented classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor performance. Anyone interested in these developments ought to own a copy of this book. The authors cover the recent developments of the RO area in an intuitive, easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike." --John M. Mulvey, Professor of Operations Research and Financial Engineering, Princeton University
