Essays about: "Asset Allocation Stability"

Showing result 1 - 5 of 8 essays containing the words Asset Allocation Stability.

  1. 1. Hierarchical Clustering in Risk-Based Portfolio Construction

    University essay from KTH/Matematisk statistik

    Author : Natasha Nanakorn; Elin Palmgren; [2021]
    Keywords : Portfolio construction; asset allocation; risk-based asset allocation; hierarchical clustering; agglomerative clustering; hierarchical risk parity; risk; volatility; Portföljallokering; portföljhantering; portföljmetoder; riskbaserad portföljallokering; hierarkisk klustring; agglomerativ klustring; risk; volatilitet;

    Abstract : Following the global financial crisis, both risk-based and heuristic portfolio construction methods have received much attention from both academics and practitioners since these methods do not rely on the estimation of expected returns and as such are assumed to be more stable than Markowitz's traditional mean-variance portfolio. In 2016, Lopéz de Prado presented the Hierarchical Risk Parity (HRP), a new approach to portfolio construction which combines hierarchical clustering of assets with a heuristic risk-based allocation strategy in order to increase stability and improve out-of-sample performance. READ MORE

  2. 2. Comparison of Performance Between Social and Conventional Banks : An Empirical Study of Banks in Europe

    University essay from Umeå universitet/Företagsekonomi; Umeå universitet/Företagsekonomi

    Author : Anna Koivusalo; Mouaz Mansour; [2018]
    Keywords : social banks; bank performance; financial crisis;

    Abstract : Banks as financial institutions play an important role in the lives of people by facilitating the flow of funds and ensuring the stability of the global economy. Recently, the world economy witnessed various financial shocks that escalated into a financial crisis between 2007 and 2009. READ MORE

  3. 3. Efficient Risk Factor Allocation with Regime Based Models

    University essay from Lunds universitet/Matematisk statistik

    Author : Oscar Axelsson; [2017]
    Keywords : Risk Factors; Hidden Markov Models; Regime Models; Asset Allocation; Ecient Frontier; Shrinkage Factor; Baum-Welch Algorithm; EM algorithm.; Mathematics and Statistics;

    Abstract : It is widely accepted that nancial mark behaviour is characterized by periodicity. However, in academia and practice financial markets are often modeled as time consistent, resulting in static investment strategies that are assumed to be ecient. READ MORE

  4. 4. Systemic Risk in the Insurance Sector under Solvency II: An Analysis of the Pro-Cyclicality Channel

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Anne Beck; [2017]
    Keywords : Cyclicality; Investment Behavior; Financial Stability; Insurance regulation;

    Abstract : This thesis studies the effect of a change in the regulatory environment on the cyclicality of insurers' investment behavior. Given their large amount of asset holdings, insurers have the potential to reinforce or dampen market and asset price movements. READ MORE

  5. 5. Black-Litterman Portfolio Allocation Stability and Financial Performance with MGARCH-M Derived Views

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jens Norell; Eric Dove; [2016]
    Keywords : Financial Econometrics; Black-Litterman; Asset Allocation Stability; MGARCH-M; Business and Economics;

    Abstract : 2 Abstract This paper deploys methodology typically utilized in financial econometrics, namely univariate and multivariate GARCH-M forecasting techniques, as inputs into the Black-Litterman asset allocation process. While previous works have examined the usefulness in deploying select GARCH specifications as a source for the required Black-Litterman views vector, to the best of our knowledge, this is the first such work comparing the effects of select GARCH specification on asset allocation volatility. READ MORE