Download or read book Constrained Investment Strategies for International Diversification written by Alan Carter Simpson and published by . This book was released on 1981 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Country Asset Allocation written by Adam Zaremba and published by Springer. This book was released on 2016-10-26 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book demonstrates how quantitative country-level investment strategies can be successfully employed to manage money in international markets. It offers a range of state-of-the-art quantitative strategies, describing their theoretical bases, implementation details, and performance in over 70 countries between 1995 and 2015. International diversification has long been a key to stable investing. However, the increased integration and openness of global financial markets has led to rising correlations between stock market returns in particular countries, driving down the benefits of diversification and increasing the importance of country selection strategies as part of an investment process. Zaremba and Shemer explain the efficiency of quantitative investing, which captures huge amounts of data of limited scope very quickly. In the traditional approach, this data compilation is an immense undertaking, limited in scope and vulnerable to behavioral errors, but this can be overcome with the help of a new paradigm of quantitative investment at the country level. Quantitative country asset allocation can be efficiently accomplished by using wealth insights that have been generated in the academic literature, discovering many anomalies and regular patterns in asset prices. Armed with this information, investors and managers can process large amounts of data more efficiently when deciding to invest in ETFs, index funds, or futures markets.

Download or read book Diversification Benefits of Emerging Markets Subject to Portfolio Constraints written by Kai Li and published by . This book was released on 2009 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the international diversification benefits subject to portfolio constraints -- in particular, constraints on short selling. We show that the international diversification benefits remain substantial for U.S. equity investors when they are prohibited from short selling in emerging markets. This result is robust to investment restrictions on non-native individuals. It is also unaffected by the fact that the U.S. equity index portfolio is not on the efficient frontier spanned by U.S. securities. The integration of world equity markets reduces, but does not eliminate, the diversification benefits of investing in emerging markets subject to short-sale constraints.

Download or read book Investment Strategies written by Gerhard Wörtche and published by diplom.de. This book was released on 2009-11-30 with total page 77 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inhaltsangabe:This thesis explains the methodology of the considered investment strategies and demonstrates gradually how they are implemented. Besides the ebook, the purchaser of this article receives also the underlying excel sheets. These excel sheets show without using macros how step-by-step the different strategies are implemented. Introduction: Nowadays the merits of international portfolio diversification are widely acknowledged in the academic literature. The risk reduction of an international portfolio can be achieved because the correlations between international asset markets are rather low compared to a portfolio which entirely consists of national securities. Hence, international investment strategies are superior compared to strategies which invest solely in a local market since they are able to generate a greater return for a certain risk, or less risk for a given return. Beside the advantages of international diversification, the investment in other currencies bears an additional uncertainty that arises through foreign exchange rate fluctuations. However, the development of the exchange rate is not solely a one-sided downside risk; it is also a chance of a higher return since the movement can be in favor of a position. In other words, exchange rate changes have different effects on investors of different currencies. Even if the domestic return is much lower than in other countries, it might be the case that an investment in another state will result in a lower return because of the exchange rate development. Therefore, the residence and the therewith-associated currency of an investor is crucial for the result of an international diversified portfolio. In order to analyze the two risk drivers of an international diversified portfolio separately, the results of the investment strategies are calculated in two ways - with and without the exchange rate development. This method allows evaluating whether exchange rate movements are dispensable or if currency fluctuations are significant for international equity portfolios and therefore the exchange rate risk should be hedged. The choice of the investment strategy should be compatible with the needs, the expectations and the personality of an investor. In many papers utility theory is used to determine an investor s optimal investment strategy. These approaches use utility functions to figure out which strategy fits best to an investor. The methodology of this paper is from another [...]

Download or read book Benefits of International Diversification for a Swiss Investor written by Simon E. Öhri and published by . This book was released on 2010 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Investment and Financial Policies of Industrially and Internationally Diversified Firms cash Holdings the Value of Cash Holdings and Financial Constraints written by Mussie Teclezion and published by . This book was released on 2008 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: The value impact of the two diversification strategies, namely, international and industrial diversification strategies, is one of the vastly-researched areas in the financial economics literature. In this paper, we add to diversification literature by examining the impact of each diversification strategy on the liquidity level firms choose to hold, on the propensity of firms to save cash out of their cash flow, on the tendency of firms to over-invest their free cash flow as well as on the value investors ascribe to the marginal cash within a firm. In the first essay, using fixed effect model as well as dynamic panel data model of Blundell and Bond (1998) type system GMM, we test the hypothesis that the two diversification strategies have no impact on the level of liquidity firm hold. In sample that spans from Q1Y1999 to Q4Y2005 and a sample size of 52,262 firm quarters for the fixed effect model and 20,544 firm quarters for the dynamic panel data model, we do not find any evidence that international diversification affects the liquidity level of firms. Nor do the location specific factors of the subsidiaries of internationally diversified firms, as measured by the Economic Freedom Index, have any effect on the level of cash holdings of firms. On the other hand, we find weak evidence that industrial diversification reduces the level of liquidity of firms. In the second essay, we examine the impact of the two diversification strategies on the propensity of firms to save cash out of their cash flow using a two-step GMM Instrumental Variable Regression model using a sample that extends from Q1Y1999 to Q4Y2005 and a sample size of 79,040 firm quarters. Industrial diversification reduces the propensity of firms to save cash out of their cash flow, while international diversification does not. We also examine the impact of the two diversification strategies on the overinvestment of free cash flow. In a sample of 74,914 firm quarters for the sample period of Q1Y1999 to Q4Y2005, we find evidence that industrial diversification increases the tendency of firms to over-invest their free cash flow. The third essay looks at whether the two diversification strategies have any impact on the value investors assign to the marginal dollar within a firm. Using a sample of 73,105 firm quarters for the sample period Q1Y1999 to Q4Y2005, we find evidence that while international diversification affects the value investors ascribe to the marginal dollar within the firm positively, industrial diversification affects it negatively. We also find that investors value the marginal dollar within single-segment internationally diversified as the highest and the marginal dollar within multi-segment domestic firms as the lowest within the four diversification groups.

Download or read book An Investigation Into the Effects of Weight Constraints Estimation Error and Taxes on the Benefits from International Diversification written by Shaun McDowell and published by . This book was released on 2016 with total page 217 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis investigates the effect of allocation weight constraints, estimation error and taxes on the potential benefits from international diversification. The empirical results presented in this thesis address gaps in the literature concerning the statistical significance of the potential gains from international diversification and whether these potential benefits can be realized ex-ante. Weight constraints on market allocations used with static in-sample optimized portfolios are found to reduce the potential benefits of international diversification to statistically insignificant levels versus the domestic portfolio for the majority of investors in developed markets for the 1993 to 2014 investment period. The naive global market capitalization weighted (1/M) portfolio, the most strongly constrained portfolio, provides statistically significant positive gains for only 2 of the 34 markets studied. Estimation error reduction strategies designed to improve ex-ante optimization are not found to outperform the naive domestic market portfolio or the naive 1/M port- folio for investors in the majority of countries measured. And the unequal taxation of overseas equity income is reported to reduce the potential benefits of international diversification and increase the efficiency of a home bias for New Zealand investors indirectly investing in equities held in a portfolio investment entity (PIE). These empirical findings suggest that a home bias may exist in part because allocation constraints, estimation error and taxes on overseas equity investments can make overweighting the domestic market a statistically efficient investment decision.

Download or read book Efficiently Inefficient written by Lasse Heje Pedersen and published by Princeton University Press. This book was released on 2019-09-17 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: Efficiently Inefficient describes the key trading strategies used by hedge funds and demystifies the secret world of active investing. Leading financial economist Lasse Heje Pedersen combines the latest research with real-world examples and interviews with top hedge fund managers to show how certain trading strategies make money--and why they sometimes don't. Pedersen views markets as neither perfectly efficient nor completely inefficient. Rather, they are inefficient enough that money managers can be compensated for their costs through the profits of their trading strategies and efficient enough that the profits after costs do not encourage additional active investing. Understanding how to trade in this efficiently inefficient market provides a new, engaging way to learn finance. Pedersen analyzes how the market price of stocks and bonds can differ from the model price, leading to new perspectives on the relationship between trading results and finance theory. He explores several different areas in depth--fundamental tools for investment management, equity strategies, macro strategies, and arbitrage strategies--and he looks at such diverse topics as portfolio choice, risk management, equity valuation, and yield curve logic. The book's strategies are illuminated further by interviews with leading hedge fund managers: Lee Ainslie, Cliff Asness, Jim Chanos, Ken Griffin, David Harding, John Paulson, Myron Scholes, and George Soros.

Download or read book International Diversification of Investment Portfolios written by Cheol S. Eun and published by . This book was released on 1991 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book International Diversification with Factor Funds written by Cheol S. Eun and published by . This book was released on 2015 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a new investment strategy employing “factor funds” to systematically enhance the mean-variance efficiency of international diversification. Our approach is motivated by the increasing evidence that size (SMB), book-to-market (HML), and momentum (MOM) factors, along with the market factor, adequately describe international stock returns, and by the direct link between investors' portfolio choice problems and international asset pricing theories and tests. Using data from ten developed countries during the period 1981-2008, we show that the “augmented” optimal portfolio involving local factor funds substantially outperforms the “benchmark” optimal portfolio comprising country market indices only as measured by their portfolio Sharpe ratios. This strongly rejects the intersection hypothesis which posits that the local factor funds do not span investment opportunities beyond what country market indices do. Among the three classes of factor funds, HML funds contribute most to the efficiency gains. In addition, the local version of factor funds outperforms the global factor funds. The added gains from local factor diversification are significant for both in- and out-of-sample periods, and for a realistic range of additional investment costs for factor funds, and remain robust over time.

Download or read book Risk Based and Factor Investing written by Emmanuel Jurczenko and published by Elsevier. This book was released on 2015-11-24 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a compilation of recent articles written by leading academics and practitioners in the area of risk-based and factor investing (RBFI). The articles are intended to introduce readers to some of the latest, cutting edge research encountered by academics and professionals dealing with RBFI solutions. Together the authors detail both alternative non-return based portfolio construction techniques and investing style risk premia strategies. Each chapter deals with new methods of building strategic and tactical risk-based portfolios, constructing and combining systematic factor strategies and assessing the related rules-based investment performances. This book can assist portfolio managers, asset owners, consultants, academics and students who wish to further their understanding of the science and art of risk-based and factor investing. Contains up-to-date research from the areas of RBFI Features contributions from leading academics and practitioners in this field Features discussions of new methods of building strategic and tactical risk-based portfolios for practitioners, academics and students

Download or read book International Portfolio Choice Liquidity Constraints and the Home Equity Bias Puzzle written by Alexander Michaelides and published by . This book was released on 2008 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper solves for optimal international portfolio choice in the presence of liquidity constraints and undiversifiable labor income risk. Optimal portfolios are internationally diversified while positive correlation between domestic stock market returns and permanent labor income shocks can generate a complete portfolio specialization in foreign stocks. Nevertheless, either small costs associated with investing abroad or a slightly positive domestic to foreign equity premium differential are suffcient to either deter households from participating in a foreign market or generate a substantial bias for home equities. The benefits of international diversification are limited because consumption fluctuations can be smoothed with a small amount of buffer stock saving, while exchange rate risk makes foreign investments less appealing to risk averse investors.

Download or read book Assessing the Impact of Short sale Constraints on the Gain from International Diversification written by and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper examines the impact of short-sale constraints on the magnitude of international diversification benefit for U.S. investors during the period of 1976-1998. The diversification benefit is measured as the increase in expected return when switching from the U.S. equity index portfolio to the efficient international portfolio with equal variance. Although short-sale constraints reduce the diversification benefit, we find that the reduction caused by the constraints on emerging markets is small. This result holds in both pre- and post-liberalization periods. They are also unaffected by the fact that the U.S. index portfolio is not on the efficient frontier spanned by U.S. securities"--Federal Reserve Bank of New York web site.

Download or read book Introduction to Risk Parity and Budgeting written by Thierry Roncalli and published by CRC Press. This book was released on 2016-04-19 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global fina

Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.

Download or read book Research in Finance written by Andrew H. Chen and published by Emerald Group Publishing. This book was released on 2008-03-04 with total page 333 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains contributions on a range of important issues in research in finance and economics. This volume includes topics such as the IPO underwriting spreads, the moral hazard problems in bank regulation as well as in the cost of deposit insurance, the loan yield spreads, and the aggregate bank performance at the state-level.

Download or read book Handbook of Quantitative Finance and Risk Management written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2010-06-14 with total page 1700 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.