asset classes
Forecasting oil price realized volatility using information channels from other asset classes
... different asset classes (Stocks, Forex, Commodities and Macro) and we investigate whether their realized volatilities improve the oil volatility ...individual asset and asset class, their ...
53
Adjustment Dynamics Between Alternative Asset Classes: Gold, Rupee & Crude Using ARDL Bounds Testing Approach
... alternative asset classes, we have analyzed log transformed monthly returns for these alternate asset classes for the ten year period ...
10
Inflation Hedging Properties of Different Asset Classes in Malaysia
... In this section, we examine the ARDL bounds testing for the co- integration between each of the nominal asset returns (i.e. nsr, ngr, nrer, tby and tbr) and inflation. Table 3 presents the results of the ARDL ...
28
Efficiency of Currency Asset Classes
... Currency Asset Class: A New Era of Investment Opportunity,” establishes that currency asset classes are less volatile than stocks indices when ...currency asset class, ...
15
The Role of Islamic Asset Classes in the Diversified Portfolios: Mean Variance Spanning Test
... specific asset class can benefit from Islamic assets in particular regimes, our results show that the conventional institutional investors cannot benefit from the combination of all Islamic asset ...Islamic ...
47
On the market portfolio for multi asset classes
... Keywords: market portfolio, stock, bond, benchmark, multi-assets allocation, active management, risk premium, strategic asset allocation, long-term investment policy.. JEL classification[r] ...
20
A RISK-RETURN ANALYSIS ON OPTIMUM PORTFOLIO OF VARIOUS ASSET CLASSES
... Determining the expected return and risk (variance or standard deviation) of each portfolio that can be created from a set of selected securities. It is advisable to all investors, to f[r] ...
17
Analytical Hierarchy Process and Goal Programming Approach for Asset Allocation
... the asset allocation process and that require choosing between: 1) different geographical area for international diversification purposes; 2) different asset classes (stocks, bonds, ...
9
Stable Value Funds Performance
... major asset classes based on a historical analysis, and that they often occupy a significant position in optimized portfolios across a broad range of risk aversion ...
46
A Dynamic Model of Strategic Allocation of Sovereign Wealth Funds
... risky asset classes; and ge- nerational savings funds with a long-term horizon tend to invest in relatively riskier asset classes with higher ...
17
Long-Tail Distributions And Total Returns On Risk-Based Investment Products
... seven asset classes that are used to build four hypothetical TDFs, and compares simulated total returns for four hypothetical TDFs over a 50-year horizon, where the stochastic terms for each of the ...
18
Commodity investments: opportunities for Indian institutional investors
... different asset classes like bonds equities, commodities, ...specific asset class and prefer to include such securities in their portfolio so that the high risk in one asset class gets set-off ...
30
Browse Title Index
... major asset classes (public real estate, general equity, currency and bond) using a multi-asset class ...which asset classes of emerging markets are to these crisis ...
9
Reliability and Heterogeneity of Real Estate Indexes and their Impact on the Predictability of Returns
... Finally, we turn to the issue of the effect of data divergence on investment portfolio composition in a mean-variance framework. The role of real estate in diversifying mixed-asset portfolios has been well ...
24
Eberle, Stefan (2009): A Polynomial Algorithm for a NP-hard to solve Optimization Problem. Dissertation, LMU München: Fakultät für Physik
... Using a setting of normally and independently distributed asset classes it is relatively easy to find the true V aR minimum with the help of quadratic optimization techniques. On the other hand, applying ...
121
The Trend is Our Friend : Risk Parity, Momentum and Trend Following in Global Asset Allocation
... of asset allocation of 60% in domestic equities and 40% in domestic bonds and, apart from a little rebalancing, holding these positions indefinitely increasingly appears ...alternative asset classes, ...
42
Equivalent Risky Allocation: The New ERA of Risk Measurement for Heterogeneous Investors
... Considering several investors with different risk profiles risk perception and risk aversion but confronted with the same set of asset classes and allocation constraints, we assess the c[r] ...
15
Excess co movement in asset prices: The case of South Africa
... cycles and trend factors. The presence of excess co-movement in commodity markets, for instance, has been judged as casting doubt on the efficiency of commodity markets and on the standard commodity price models (Cooper ...
16
The relationship of macro factors and different investment asstes class during financial crisis
... In this research, Risk Adjusted Returns and Descriptive Analysis were used to assess various returns on share, bonds, plantation, financial, industrial, property and cash series from the year of December 1997 until the ...
40
The trend is our friend: Risk parity, momentum and trend following in global asset allocation
... of asset allocation of 60% in domestic equities and 40% in domestic bonds and, apart from a little rebalancing, holding these positions indefinitely increasingly appears ...alternative asset classes, ...
43