Dynamic Asset Allocation Using Adaptive Particle Filters
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| Author | : Li Xu |
| Publisher | : |
| Total Pages | : |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Asset allocation is one of the most important problems in practical investment management and also plays a central role in financial economics. This study is devoted to an econometric treatment of asset allocation problems. We propose a very general procedure for dynamic asset allocation by using adaptive particle filters. It represents an advance over the traditional asset allocation because it incorporates jumps in mean returns and volatilities when using historical data. An advantage of our procedure is that it is very general and independent from any specific utilities. The empirical study shows our procedure indeed outperforms traditionally methods. The theoretical contribution of our paper is that we propose a general methodology which can accommodate lots of asset allocation problems. The methodology is easy to implement and simple to apply many models which are popular in returns modelling and asset allocation. It also inherits all the advantages of many variants of particle filtering approach. In fact, we provide a powerful tool for the researchers in finance area to solve the problems mentioned above. The empirical contribution is that we first apply our approach to the double-jump model. Based on S & P 500 data from 1996 to 2011, we find variations in posterior distributions of parameters. Our algorithm can quickly adapt to the new information and update the values. Next, we apply our framework to Log and Power utility. In general, we observe the same pattern for both cases: higher cumulative excess returns and larger CER for SVCJ model than SV model with same framework, higher cumulative excess returns and larger CER for our sequential strategy than others with same model.
| Author | : Adam Butler |
| Publisher | : John Wiley & Sons |
| Total Pages | : 209 |
| Release | : 2016-02-02 |
| Genre | : Business & Economics |
| ISBN | : 1119220378 |
Build an agile, responsive portfolio with a new approach to global asset allocation Adaptive Asset Allocation is a no-nonsense how-to guide for dynamic portfolio management. Written by the team behind Gestaltu.com, this book walks you through a uniquely objective and unbiased investment philosophy and provides clear guidelines for execution. From foundational concepts and timing to forecasting and portfolio optimization, this book shares insightful perspective on portfolio adaptation that can improve any investment strategy. Accessible explanations of both classical and contemporary research support the methodologies presented, bolstered by the authors' own capstone case study showing the direct impact of this approach on the individual investor. Financial advisors are competing in an increasingly commoditized environment, with the added burden of two substantial bear markets in the last 15 years. This book presents a framework that addresses the major challenges both advisors and investors face, emphasizing the importance of an agile, globally-diversified portfolio. Drill down to the most important concepts in wealth management Optimize portfolio performance with careful timing of savings and withdrawals Forecast returns 80% more accurately than assuming long-term averages Adopt an investment framework for stability, growth, and maximum income An optimized portfolio must be structured in a way that allows quick response to changes in asset class risks and relationships, and the flexibility to continually adapt to market changes. To execute such an ambitious strategy, it is essential to have a strong grasp of foundational wealth management concepts, a reliable system of forecasting, and a clear understanding of the merits of individual investment methods. Adaptive Asset Allocation provides critical background information alongside a streamlined framework for improving portfolio performance.
| Author | : Richard E. Oberuc |
| Publisher | : McGraw Hill Professional |
| Total Pages | : 344 |
| Release | : 2004 |
| Genre | : Business & Economics |
| ISBN | : 9780071426695 |
| Author | : Yong Zeng |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 358 |
| Release | : 2013-08-15 |
| Genre | : Business & Economics |
| ISBN | : 1461477891 |
State-space models as an important mathematical tool has been widely used in many different fields. This edited collection explores recent theoretical developments of the models and their applications in economics and finance. The book includes nonlinear and non-Gaussian time series models, regime-switching and hidden Markov models, continuous- or discrete-time state processes, and models of equally-spaced or irregularly-spaced (discrete or continuous) observations. The contributed chapters are divided into four parts. The first part is on Particle Filtering and Parameter Learning in Nonlinear State-Space Models. The second part focuses on the application of Linear State-Space Models in Macroeconomics and Finance. The third part deals with Hidden Markov Models, Regime Switching and Mathematical Finance and the fourth part is on Nonlinear State-Space Models for High Frequency Financial Data. The book will appeal to graduate students and researchers studying state-space modeling in economics, statistics, and mathematics, as well as to finance professionals.
| Author | : David A. Hammer |
| Publisher | : |
| Total Pages | : 362 |
| Release | : 1991-04-25 |
| Genre | : Business & Economics |
| ISBN | : |
Includes an examination of traditional asset allocation methods, why they do and do not work, and which elements can be used in overseeing the professional's own portfolio. In addition, the author introduces his own proven method of portfolio management and asset allocation strategies--the ``7-Step System''--using simple statistical techniques to forecast stock, bond, commodity, and money market returns. Free of complex mathematics, charts, graphs, and technical jargon, this is a highly readable guide to getting the most from today's sophisticated investment techniques.
| Author | : |
| Publisher | : |
| Total Pages | : |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
| Author | : Loretta T. S. Hung |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2002 |
| Genre | : Asset allocation |
| ISBN | : |
Tactical asset allocation has become popular in asset management since the stock market crash in October 1987. Researchers and practitioners have always promoted the benefits of international diversification. Much research has been done in domestic asset allocation and global asset allocation. However, a portfolio mix between the S & P 500 Index and the MSCI EAFE Index is a novel combination for tactical asset allocation. The objective of this study is to develop a dynamic asset allocation strategy dealing with such an asset mix. A rolling binary logit model is built using the preceding sixty months of data and is used to forecast the next month's movements of these two indices. Forty-eight trading strategies are implemented to validate the forecastability of the prediction model using the out-of-sample data from January 1978 to September 1999. This study affirms that a dynamic asset allocation strategy can be established to time the market and generate a superior abnormal return on a portfolio investing in these two assets. A prediction model can be built on public information variables to successfully forecast the upcoming movements of these two indices. Even with transaction costs, an investor can rely on the signals to make asset allocation between these two indices and produce a terminal wealth significantly larger than the passive portfolios invested in either one of the indices alone.
| Author | : Andrew Ball |
| Publisher | : Springer Nature |
| Total Pages | : 1566 |
| Release | : 2020-08-27 |
| Genre | : Technology & Engineering |
| ISBN | : 3030577457 |
This book gathers select contributions from the 32nd International Congress and Exhibition on Condition Monitoring and Diagnostic Engineering Management (COMADEM 2019), held at the University of Huddersfield, UK in September 2019, and jointly organized by the University of Huddersfield and COMADEM International. The aim of the Congress was to promote awareness of the rapidly emerging interdisciplinary areas of condition monitoring and diagnostic engineering management. The contents discuss the latest tools and techniques in the multidisciplinary field of performance monitoring, root cause failure modes analysis, failure diagnosis, prognosis, and proactive management of industrial systems. There is a special focus on digitally enabled asset management and covers several topics such as condition monitoring, maintenance, structural health monitoring, non-destructive testing and other allied areas. Bringing together expert contributions from academia and industry, this book will be a valuable resource for those interested in latest condition monitoring and asset management techniques.
| Author | : Md Saiful Islam |
| Publisher | : |
| Total Pages | : 88 |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
The contribution of this research work can be divided into two main tasks: 1) implementing this Electronic Warfare Asset Allocation Problem (EWAAP) with the Genetic Algorithm (GA); 2) Comparing performance of Genetic Algorithm to Particle Swarm Optimization (PSO) algorithm. This research problem implemented Genetic Algorithm in C++ and used QT Data Visualization for displaying three-dimensional space, pheromone, and Terrain. The Genetic algorithm implementation maintained and preserved the coding style, data structure, and visualization from the PSO implementation. Although the Genetic Algorithm has higher fitness values and better global solutions for 3 or more receivers, it increases the running time. The Genetic Algorithm is around (15-30\%) more accurate for asset counts from 3 to 6 but requires (26-82\%) more computational time. When the allocation problem complexity increases by adding 3D space, pheromones and complex terrains, the accuracy of GA is 3.71\% better but the speed of GA is 121\% slower than PSO. In summary, the Genetic Algorithm gives a better global solution in some cases but the computational time is higher for the Genetic Algorithm with than Particle Swarm Optimization.
| Author | : Massimiliano Tani |
| Publisher | : |
| Total Pages | : 22 |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
This paper uses the insight that the sectors composing the economy perform differently and (to a certain extent) independently one another over the phases of the economic cycle to explore the existence of investment rules capable of exploiting such dynamics and over-perform market returns. The analysis uses three simple market-timing techniques on 41 funds of the Fidelity Select Sector family over the period January 1998-September 2003. The results indicate that each technique can exploit the pathdependency of the returns across sectors, and consistently over-perform the return of a buy-and-hold strategy. It is hoped that these results will encourage investors, investment managers, and academics to further investigate some of the heuristic models successfully used by practitioners.
