Download or read book Predictions Nonlinearities and Portfolio Choice written by Friedrich Christian Kruse and published by BoD – Books on Demand. This book was released on 2012 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance researchers and asset management practitioners put a lot of effort into the question of optimal asset allocation. With this respect, a lot of research has been conducted on portfolio decision making as well as quantitative modeling and prediction models. This study brings together three fields of research, which are usually analyzed in an isolated manner in the literature: - Predictability of asset returns and their covariance matrix - Optimal portfolio decision making - Nonlinear modeling, performed by artificial neural networks, and their impact on predictions as well as optimal portfolio construction Including predictability in asset allocation is the focus of this work and it pays special attention to issues related to nonlinearities. The contribution of this study to the portfolio choice literature is twofold. First, motivated by the evidence of linear predictability, the impact of nonlinear predictions on portfolio performances is analyzed. Predictions are empirically performed for an investor who invests in equities (represented by the DAX index), bonds (represented by the REXP index) and a risk-free rate. Second, a solution to the dynamic programming problem for intertemporal portfolio choice is presented. The method is based on functional approximations of the investor's value function with artificial neural networks. The method is easily capable of handling multiple state variables. Hence, the effect of adding predictive parameters to the state space is the focus of analysis as well as the impacts of estimation biases and the view of a Bayesian investor on intertemporal portfolio choice. One important empirical result shows that residual correlation among state variables have an impact on intertemporal portfolio decision making.
Download or read book Portfolio Choice Problems written by Nicolas Chapados and published by Springer Science & Business Media. This book was released on 2011-07-12 with total page 107 pages. Available in PDF, EPUB and Kindle. Book excerpt: This brief offers a broad, yet concise, coverage of portfolio choice, containing both application-oriented and academic results, along with abundant pointers to the literature for further study. It cuts through many strands of the subject, presenting not only the classical results from financial economics but also approaches originating from information theory, machine learning and operations research. This compact treatment of the topic will be valuable to students entering the field, as well as practitioners looking for a broad coverage of the topic.
Download or read book Third Order Risk Preferences and Cumulative Prospect Theory written by Michael Borß and published by BoD – Books on Demand. This book was released on 2017-03-02 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is broad theoretical and empirical evidence that investors exhibit a preference for skewness. However, there is little research regarding the extent to which individuals really favor positive skewness in individual decision making. In this dissertation, a controlled laboratory experiment is used to test for skewness preferences and prudence – a broader third-order risk preference that is closely linked to skewness preferences. Skewness and prudence preferences are further analyzed both within an Expected Utility Theory framework as well as with Cumulative Prospect Theory. For this, a sound experimental setup is used that also excludes any potentially distortionary effects from loss aversion. This dissertation therefore contributes to better understanding of individual risk preferences and other impact factors, such as a more “rational” vs. a more “intuitive” decision making process in individual decision making.
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Download or read book NELION a Non linear Stock Prediction and Portfolio Management System written by Thomas Schwerk and published by . This book was released on 2001 with total page 187 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Missing Data Methods written by David M. Drukker and published by Emerald Group Publishing. This book was released on 2011-11-30 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: Part of the "Advances in Econometrics" series, this title contains chapters covering topics such as: Missing-Data Imputation in Nonstationary Panel Data Models; Markov Switching Models in Empirical Finance; Bayesian Analysis of Multivariate Sample Selection Models Using Gaussian Copulas; and, Consistent Estimation and Orthogonality.
Download or read book Complex Systems Multi Sided Incentives and Risk Perception in Companies written by Michael I.C. Nwogugu and published by Springer Nature. This book was released on 2019-09-06 with total page 849 pages. Available in PDF, EPUB and Kindle. Book excerpt: Most research about financial stability and sustainable growth focuses on the financial sector and macroeconomics and neglects the real sector, microeconomics and psychology issues. Real-sector and financial-sectors linkages are increasing and are a foundation of economic/social/environmental/urban sustainability, given financial crises, noise, internet, “transition economics”, disintermediation, demographics and inequality around the world. Within complex systems theory framework, this book analyses some multi-sided mechanisms and risk-perception that can have symbiotic relationships with financial stability, systemic risk and/or sustainable growth. Within the context of Regret Minimization, MN-Transferable Utility and WTAL, new theories-of-the-firm are developed that consider sustainable growth, price stability, globalization, financial stability and birth-to-death evolutions of firms. This book introduces new behaviour theories pertaining to real estate and intangibles, which can affect the evolutions of risk-taking and risk perception within organizations and investment entities. The chapters address elements of the dilemma of often divergent risk perceptions of, and risk-taking by corporate executives, regulators and investment managers.
Download or read book Computational Intelligence and Data Analytics written by Rajkumar Buyya and published by Springer Nature. This book was released on 2022-09-01 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book presents high-quality research papers presented at the International Conference on Computational Intelligence and Data Analytics (ICCIDA 2022), organized by the Department of Information Technology, Vasavi College of Engineering, Hyderabad, India in January 2022. ICCIDA provides an excellent platform for exchanging knowledge with the global community of scientists, engineers, and educators. This volume covers cutting-edge research in two prominent areas – computational intelligence and data analytics, and allied research areas.
Download or read book Biological Systems Nonlinear Dynamics Approach written by Jorge Carballido-Landeira and published by Springer. This book was released on 2019-04-29 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book collects recent advances in the field of nonlinear dynamics in biological systems. Focusing on medical applications as well as more fundamental questions in biochemistry, it presents recent findings in areas such as control in chemically driven reaction-diffusion systems, electrical wave propagation through heart tissue, neural network growth, chiral symmetry breaking in polymers and mechanochemical pattern formation in the cytoplasm, particularly in the context of cardiac cells. It is a compilation of works, including contributions from international scientists who attended the “2nd BCAM Workshop on Nonlinear Dynamics in Biological Systems,” held at the Basque Center for Applied Mathematics, Bilbao in September 2016. Embracing diverse disciplines and using multidisciplinary approaches – including theoretical concepts, simulations and experiments – these contributions highlight the nonlinear nature of biological systems in order to be able to reproduce their complex behavior. Edited by the conference organizers and featuring results that represent recent findings and not necessarily those presented at the conference, the book appeals to applied mathematicians, biophysicists and computational biologists.
Download or read book Economic Complexity Chaos Sunspots Bubbles and Nonlinearity written by William A. Barnett and published by Cambridge University Press. This book was released on 1989-07-28 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: The contents of this volume comprise the proceedings of the International Symposia in Economic Theory and Econometrics conference held in 1987 at the IC^T2 (Innovation, Creativity, and Capital) Institute at the University of Texas at Austin. The essays present fundamental new research on the analysis of complicated outcomes in relatively simple macroeconomic models. The book covers econometric modelling and time series analysis techniques in five parts. Part I focuses on sunspot equilibria, the study of uncertainty generated by nonstochastic economic models. Part II examines the more traditional examples of deterministic chaos: bubbles, instability, and hyperinflation. Part III contains the most current literature dealing with empirical tests for chaos and strange attractors. Part IV deals with chaos and informational complexity. Part V, Nonlinear Econometric Modelling, includes tests for and applications of nonlinearity.
Download or read book Handbook of Research on Big Data Clustering and Machine Learning written by Garcia Marquez, Fausto Pedro and published by IGI Global. This book was released on 2019-10-04 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt: As organizations continue to develop, there is an increasing need for technological methods that can keep up with the rising amount of data and information that is being generated. Machine learning is a tool that has become powerful due to its ability to analyze large amounts of data quickly. Machine learning is one of many technological advancements that is being implemented into a multitude of specialized fields. An extensive study on the execution of these advancements within professional industries is necessary. The Handbook of Research on Big Data Clustering and Machine Learning is an essential reference source that synthesizes the analytic principles of clustering and machine learning to big data and provides an interface between the main disciplines of engineering/technology and the organizational, administrative, and planning abilities of management. Featuring research on topics such as project management, contextual data modeling, and business information systems, this book is ideally designed for engineers, economists, finance officers, marketers, decision makers, business professionals, industry practitioners, academicians, students, and researchers seeking coverage on the implementation of big data and machine learning within specific professional fields.
Download or read book Machine Learning in Asset Pricing written by Stefan Nagel and published by Princeton University Press. This book was released on 2021-05-11 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: A groundbreaking, authoritative introduction to how machine learning can be applied to asset pricing Investors in financial markets are faced with an abundance of potentially value-relevant information from a wide variety of different sources. In such data-rich, high-dimensional environments, techniques from the rapidly advancing field of machine learning (ML) are well-suited for solving prediction problems. Accordingly, ML methods are quickly becoming part of the toolkit in asset pricing research and quantitative investing. In this book, Stefan Nagel examines the promises and challenges of ML applications in asset pricing. Asset pricing problems are substantially different from the settings for which ML tools were developed originally. To realize the potential of ML methods, they must be adapted for the specific conditions in asset pricing applications. Economic considerations, such as portfolio optimization, absence of near arbitrage, and investor learning can guide the selection and modification of ML tools. Beginning with a brief survey of basic supervised ML methods, Nagel then discusses the application of these techniques in empirical research in asset pricing and shows how they promise to advance the theoretical modeling of financial markets. Machine Learning in Asset Pricing presents the exciting possibilities of using cutting-edge methods in research on financial asset valuation.
Download or read book Working Paper Series written by and published by . This book was released on 2001 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Artificial Intelligence in Asset Management written by Söhnke M. Bartram and published by CFA Institute Research Foundation. This book was released on 2020-08-28 with total page 95 pages. Available in PDF, EPUB and Kindle. Book excerpt: Artificial intelligence (AI) has grown in presence in asset management and has revolutionized the sector in many ways. It has improved portfolio management, trading, and risk management practices by increasing efficiency, accuracy, and compliance. In particular, AI techniques help construct portfolios based on more accurate risk and return forecasts and more complex constraints. Trading algorithms use AI to devise novel trading signals and execute trades with lower transaction costs. AI also improves risk modeling and forecasting by generating insights from new data sources. Finally, robo-advisors owe a large part of their success to AI techniques. Yet the use of AI can also create new risks and challenges, such as those resulting from model opacity, complexity, and reliance on data integrity.
Download or read book Risk Management written by Michael Frenkel and published by Springer Science & Business Media. This book was released on 2005-12-06 with total page 842 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dealing with all aspects of risk management that have undergone significant innovation in recent years, this book aims at being a reference work in its field. Different to other books on the topic, it addresses the challenges and opportunities facing the different risk management types in banks, insurance companies, and the corporate sector. Due to the rising volatility in the financial markets as well as political and operational risks affecting the business sector in general, capital adequacy rules are equally important for non-financial companies. For the banking sector, the book emphasizes the modifications implied by the Basel II proposal. The volume has been written for academics as well as practitioners, in particular finance specialists. It is unique in bringing together such a wide array of experts and correspondingly offers a complete coverage of recent developments in risk management.
Download or read book The Econometrics of Financial Markets written by John Y. Campbell and published by Princeton University Press. This book was released on 2012-06-28 with total page 630 pages. Available in PDF, EPUB and Kindle. Book excerpt: The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.
