Search results for "Folio"
showing 10 items of 319 documents
Block Bootstrap Methods and the Choice of Stocks for the Long Run
2011
Financial advisors commonly recommend that the investment horizon should be rather long in order to benefit from the "time diversification". In this case, in order to choose the optimal portfolio, it is necessary to estimate the risk and reward of several alternative portfolios over a long-run given a sample of observations over a short-run. Two interrelated obstacles in these estimations are lack of sufficient data and the uncertainty in the nature of the return generating process. To overcome these obstacles researchers rely heavily on block bootstrap methods. In this paper we demonstrate that the estimates provided by a block bootstrap method are generally biased and we propose two metho…
Corporate spin-offs value creation : parent & spin-off view
2015
Corporate spin-offs have gained popularity over the past few years. Despite of this in Finnish media and university teaching this phenomenon has gained little attention. This study aims to fulfill this knowledge gap. Spin-off is a restructuring procedure where company splits into two separate legal entities via pro-rata transaction basis. I researched this phenomenon by event-study methodology which has been quite popular also in earlier studies. I have com-pared parent and spin-off stock performance in order to reveal potential value gains for investors. Parent company is analyzed also from the announcement period where we find strong positive abnormal returns associated with announcement …
Fuzzy portfolio optimization under downside risk measures
2007
This paper presents two fuzzy portfolio selection models where the objective is to minimize the downside risk constrained by a given expected return. We assume that the rates of returns on securities are approximated as LR-fuzzy numbers of the same shape, and that the expected return and risk are evaluated by interval-valued means. We establish the relationship between those mean-interval definitions for a given fuzzy portfolio by using suitable ordering relations. Finally, we formulate the portfolio selection problem as a linear program when the returns on the assets are of trapezoidal form.
Trading with Asymmetric Volatility Spillovers
2007
: We study the profitability of trading strategies based on volatility spillovers between large and small firms. By using the Volatility Impulse-Response Function of Lin (1997) and its extensions, we detect that any volatility shock coming from small companies is important to large companies, but the reverse is only true for negative shocks coming from large firms. To exploit these asymmetric patterns in volatility, different trading rules are designed based on the inverse relationship existing between expected return and volatility. We find that most strategies generate excess after-transaction cost profits, especially after very bad news and very good news coming from large or small firm…
Implementing AI Ethics: Making Sense of the Ethical Requirements
2023
Society’s increasing dependence on Artificial Intelligence (AI) and AI-enabled systems require a more practical approach from software engineering (SE) executives in middle and higher-level management to improve their involvement in implementing AI ethics by making ethical requirements part of their management practices. However, research indicates that most work on implementing ethical requirements in SE management primarily focuses on technical development, with scarce findings for middle and higher-level management. We investigate this by interviewing ten Finnish SE executives in middle and higher-level management to examine how they consider and implement ethical requirements. We use et…
Balancing Profit, Risk, and Sustainability for Portfolio Management
2022
Author's accepted manuscript © 2022 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works. Stock portfolio optimization is the process of continuous reallocation of funds to a selection of stocks. This is a particularly well-suited problem for reinforcement learning, as daily rewards are compounding and objective functions may include more than just profit, e.g., risk and su…
Warren Buffett versus Zvi Bodie: Should You Buy Or Sell Put Options?
2021
Academics and investment professionals often disagree when it comes to investment advice. Legendary investor Warren Buffett is a proponent of time diversification and firmly believes that stocks are less risky in the long run. Therefore, he often sells long-term put options instead of buying them for portfolio protection. By contrast, the famous finance professor Zvi Bodie argues that time diversification is a fallacy and, therefore, his advice to fund managers is to buy long-term portfolio insurance. In this article, we consider the optimal portfolio choice problem for a loss-averse investor. First, we demonstrate that our loss-averse investor subscribes to the principle of time diversific…
"Alliance Portfolio Diversity, Organizational Slack, and Firm Financial Performance"
2014
We investigate how the availability of slack influences a firm’s ability to deal with alliance portfolio diversity. Alliances with diverse partners provide access to a broader pool of complementary...
Asset and Liability Management for Insurance Products with Minimum Guarantees: The UK Case
2006
Abstract Modern insurance products are becoming increasingly complex, offering various guarantees, surrender options and bonus provisions. A case in point are the with-profits insurance policies offered by UK insurers. While these policies have been offered in some form for centuries, in recent years their structure and management have become substantially more involved. The products are particularly complicated due to the wide discretion they afford insurers in determining the bonuses policyholders receive. In this paper, we study the problem of an insurance firm attempting to structure the portfolio underlying its with-profits fund. The resulting optimization problem, a non-linear program…
The impact of systemic and illiquidity risk on financing with risky collateral
2015
Abstract Repurchase agreements (repos) are one of the most important sources of funding liquidity for many financial investors and intermediaries. In a repo, some assets are given by a borrower as collateral in exchange of funding. The capital given to the borrower is the market value of the collateral, reduced by an amount termed as haircut (or margin). The haircut protects the capital lender from loss of value of the collateral contingent on the borrower׳s default. For this reason, the haircut is typically calculated with a simple Value at Risk estimation of the collateral for the purpose of preventing the risk associated to volatility. However, other risk factors should be included in th…