Download or read book International Asset Allocation with Time varying Correlations written by Andrew Ang and published by . This book was released on 1999 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is widely believed that correlations between international equity markets tend to increase in highly volatile bear markets. This has led some to doubt the benefits of international diversification. This article solves the dynamic portfolio choice problem of a US investor faced with a time-varying investment opportunity set which may be characterized by correlations and volatilities that increase in bad times. We model the state dependance of US, UK, and German equity returns using a regime-switching model and find evidence for the existence of a high volatility regime, in which returns are more highly correlated and have lower means. Solving the dynamic asset allocation problem for a CCRA investor, we show international diversification is still valuable with regime changes. Currency hedging imparts further benefit. The costs of ignoring the regimes are small for moderate levels of risk aversion, and the intertemporal hedging demands induced by time-varying correlations are negligible.
Download or read book International Asset Allocation with Time Varying Correlations written by Geert Bekaert and published by . This book was released on 2008 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is widely believed that correlations between international equity markets tend to increase in highly volatile bear markets. This has led some to doubt the benefits of international diversification. This article solves the dynamic portfolio choice problem of a US investor faced with a time-varying investment opportunity set which may be characterized by correlations and volatilities that increase in bad times. We model the state dependance of US, UK, and German equity returns using a regime-switching model and find evidence for the existence of a high volatility regime, in which returns are more highly correlated and have lower means. Solving the dynamic asset allocation problem for a CCRA investor, we show international diversification is still valuable with regime changes. Currency hedging imparts further benefit. The costs of ignoring the regimes are small for moderate levels of risk aversion, and the intertemporal hedging demands induced by time-varying correlations are negligible.
Download or read book International Asset Allocation with Time varying Investment Opportunities written by Allan Timmermann and published by . This book was released on 2002 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Global Asset Allocation written by Heinz Zimmermann and published by John Wiley & Sons. This book was released on 2003-02-03 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reveals new methodologies for asset pricing within a global asset allocation framework. Contains cutting-edge empirical research on global markets and sectors of the global economy. Introduces the Black-Litterman model and how it can be used to improve global asset allocation decisions.
Download or read book International Asset Allocation with Time varyng Correlations written by Andrew Ang and published by . This book was released on 1999 with total page 0 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 International Asset Allocaton with Time varying Correlations written by Andrew Ang and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Multi moment Asset Allocation and Pricing Models written by Emmanuel Jurczenko and published by John Wiley & Sons. This book was released on 2006-10-02 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.
Download or read book Time varying Risk and International Portfolio Diversification with Contagious Bear Markets written by Giorgio De Santis and published by . This book was released on 1995 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Modelling Time varying Conditional Correlation Across International Equity Markets written by Mahendra Chandra and published by . This book was released on 2005 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Asset Pricing and Portfolio Diversification with Time Varying Risk written by Giorgio De Santis and published by . This book was released on 1995 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Asset Allocation with Time Varying Risk written by Robert Cumby and published by . This book was released on 1991 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Global Asset Allocation with Time varying Risk written by T. J. Flavin and published by . This book was released on 2000 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Asset Allocation Under Regime Switching Skew and Kurtosis Preferences written by Massimo Guidolin and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the international asset allocation effects of time-variations in higher-order moments of stock returns such as skewness and kurtosis. In the context of a four-moment International Capital Asset Pricing Model (ICAPM) specification that relates stock returns in five regions to returns on a global market portfolio and allows for time-varying prices of covariance, co-skewness, and co-kurtosis risk, we find evidence of distinct bull and bear regimes. Ignoring such regimes, an unhedged US investor's optimal portfolio is strongly diversified internationally. The presence of regimes in the return distribution leads to a substantial increase in the investor's optimal holdings of US stocks, as does the introduction of skewness and kurtosis preferences.
Download or read book International Asset Pricing and Portfolio Diversification with Time Varying Risk written by Giorgio De Santis and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We test the conditional CAPM for the world's eight largest equity markets using a parsimonious GARCH parameterization. Our methodology can be applied simultaneously to many assets and, at the same time, accommodate general dynamics of the conditional moments. The evidence supports most of the pricing restrictions of the model, but some of the variation in risk-adjusted excess returns remains predictable during periods of high interest rates. Our estimates indicate that, although severe market declines are contagious, the expected gains from international diversification for a U.S. investor average 2.11% per year and have not significantly declined over the last two decades.
Download or read book Dynamic Asset Allocation written by Mayank Gupta and published by . This book was released on 2014 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: We document the case of global diversification benefits, that can be achieved by the new emerging markets in the world. The so-called frontier emerging markets, along with 4 emerging markets namely Brazil, Russia, India and China and 3 developed markets USA, UK and Japan. We are the first to use a common subset of frontier emerging markets from three distinct index providers, MSCI, S&P and Russell, and thereby covering more than 80% of the respective index constituents.This study explores the dynamic relationship between the degree of financial market integration for developed and emerging markets with that of frontier markets. We use daily stock index data for the given markets, and use different statistical methods for modeling linear and non-linear serial dependence using GARCH, GJR-GRACH, E-GARCH and DCC models. Further our results highlight the presence of significant time-varying conditional correlations between these markets. During crisis periods or turbulence dynamic correlation falls, for frontier markets compared to emerging markets. Our results indicate that investors who expand their investment opportunity set by gaining exposure to frontier markets can significantly improve the efficiency of their investment portfolio on a risk-return metric, even after controlling for transaction costs.
Download or read book An Application of Optimal Dynamic Hedging in International Asset Allocation written by Shohreh Valiani and published by . This book was released on 2004 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: The portfolio decision problem for global investments involves a joint choice over the financial assets and currencies. This paper investigates currency risk hedging when the volatilities and the correlations of forward currency contracts with the financial assets, are all time-varying. In order to capture the dynamic structure of the volatilities and correlations, a multivariate GARCH model with time-varying correlation, has been adopted. The dynamic optimization is estimated for different international portfolios over the time period of January 1985 till December 2002. The optimized dynamic hedge strategy can capture reasonably the currency fluctuations and significantly reduce the currency risk exposures and therefore enhance the risk-adjusted performance of the international portfolios. Our study deals with a German investor investing in the equity markets of United Kingdom, Japan and U.S.A.
