portfolio strategies
Quantitative Portfolio Strategies: Beyond traditional theory? Low risk as a useful factor for the construction of an equity portfolio
... The latter results suggest that bivariate strategies could increase future expected returns. Hence, the third goal was to examine whether the performance of the normalized value factor or momentum factor differs ...
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Alternative Inflation Hedging Portfolio Strategies: Going Forward Under Immoderate Macroeconomics
... the portfolio insurance scheme or the pass-through partial hedging technique, both of these solutions incorporate an increased reliance on risky asset classes such as commodities which can at times experience ...
16
The significance and performance of Malaysian listed property companies in international mixed asset portfolio strategies
... In the new global economy, LPCs have become central issues for investment. As mentioned by Razali (2015b), the significance of LPCs globally has been widely discussed over the past decade. Substantial development and ...
55
Essays on dynamic portfolio management
... Chapter 7 proposes a new utility based performance measure that can be applied in the ex-post evaluation of dynamic portfolio strategies.. We construct a contingent claim estimation appr[r] ...
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Lifecycle and fixed portfolio allocation strategies: a performance comparison for emerging market countries
... lifecycle strategies provide a major advantage of lessening the variation in replacement rates for ...lifecycle strategies over fixed allocation ...fixed strategies, lifecycle strategies, and ...
12
Effectiveness of F-SCORE on the Loser Following Online Portfolio Strategy in the Korean Value Stocks Portfolio
... online portfolio strategies when they are applied to the Korean value stock ...stock portfolio is divided into buying group and selling ...online portfolio strategies are applied for ...
13
Exploring the benefits of international government bond portfolio diversification strategies
... Table 4 shows that there are significant diversification benefits of investing in G7 government bonds even in the presence of no short selling constraints. For the constrained portfolio strategies, the ...
39
Constrained portfolio consumption strategies with uncertain parameters and borrowing costs
... As the first example, when the uncertain market parameters stay in an interval set, we obtain a classification of the optimal portfolio strategies in terms of borrowing and lending rates as well as the ...
35
Optimal portfolio and wealth valuation strategies with stochastic cash flows dependent on the optimal wealth
... The remainder of this paper is organized as follows. In section 2, we present the financial market models. The wealth process of the investor is presented in section 3. Section 4 presents the expected value of discounted ...
17
Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi style Rotation Strategies using Augmented Black Litterman Factor Model
... Firstly, the Shariah (Islamic) screening excludes some firms with any non-compliant activity and imposes a certain upper limit of interest-based leverage, interest income, cash- equivalent assets (Derigs and Marzban, ...
35
On the Stochastic Dominance of Portfolio Insurance Strategies
... main portfolio strategies, we search for stochastic dominance (SD) properties since SD takes account of the entire return ...a portfolio strategy dominates another one (or vice ...market ...
14
Does a held to maturity strategy impede effective portfolio diversification for Islamic bond (sukuk) portfolios? A multi scale continuous wavelet correlation analysis
... Analysing the Malaysian sovereign and corporate sukuk returns, we find that the correlations between the two are low in the lower time scales as evident by the greater number of blue and light blue spots on the coherence ...
19
A Hybrid Model for Portfolio Optimization Based on Stock Clustering and Different Investment Strategies
... solving portfolio optimization with different risk models, particularly portfolios that considering the restrictions of proper numbers as ...different portfolio risks which have already been calculated in ...
7
Microfinance institutions and efficiency
... country effect, is correlated with the second and the third principal components of the ratios. If we look at component correlations, not shown here, we find that the first principal component of the ratios is correlated ...
40
Bond Swaps
... You can sometimes improve the taxable or tax-exempt returns on your portfolio by employing a number of different bond-swapping strategies. In general, longer-maturity bonds will typically yield more than ...
7
An i n t r o d u c t i o n t o Mo d e r nP o r t f o l i o T h e o r y : Ma r k o w i t z , C A P - M APT a n d B l a c k - L i t t e r m a n
... Thus, we start with a very steep downward sloping line going through (0, r) and rotate it anti-clockwise while we have an attainable portfolio. The ‘last’ portfolio is called the Optimum Portfolio of ...
31
A framework for brand positioning strategies: What positioning strategies should be used to build an effective and efficient brand portfolio?
... positioning strategies of existing brands, fifteen more concrete strategies were ...positioning strategies were considered to be ...positioning strategies based on the price, quality, ...
53
RiskDecomposition f o r P o r t f o l i o S i m u l a t i o n s
... We describe a method to compute the decomposition of portfolio risk in additive asset components suitable for numerical simulations. The standard results in the covariance frame- work provide risk components ...
17
Tactical allocation in commodity futures markets: Combining momentum and term structure signals
... Commodity futures have become widespread investment vehicles among traditional and alternative asset managers. They are now commonly used for strategic and tactical asset allocations. The strategic appeal of commodity ...
47
A contingency model for facilities management outsourcing relationships (CORE) in the Hong Kong higher education sector : An exploratory model for linking FM outsourcing performance to higher education business performance
... Table 7.12 - Selection of critical success factor regarding influence of the outsourced FM portfolio on clients’ long-term plan 2 for outsourcing strategies Table 7.13 - Selection of des[r] ...
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