Search results for "Olio"
showing 10 items of 630 documents
On the Consistent Use of VaR in Portfolio Performance Evaluation: A Cautionary Note
2010
The portfolio performance measures based on the Value at Risk (VaR) concept have gained widespread popularity and are often used in empirical studies. In the majority of empirical studies, however, a VaR-based performance measure is inconsistently used. In this article, Zakamouline emphasizes how to consistently use VaR in portfolio performance evaluation. He also elaborates on a simple framework that allows the derivation of a general formula for a portfolio performance measure that is not limited to the use of VaR-based reward and risk measures, but is valid for all reward and risk measures that satisfy a few plausible properties.
A Test of Covariance-Matrix Forecasting Methods
2015
Providing a more accurate covariance matrix forecast can substantially improve the performance of optimized portfolios. Using out-of-sample tests, in this article the author evaluates alternative covariance matrix-forecasting methods by looking at: (1) their forecast accuracy, (2) their ability to track the volatility of a minimum-variance portfolio, and (3) their ability to keep the volatility of a minimum-variance portfolio at a target level. The author finds large differences between the methods. The results suggest that shrinking the sample covariance matrix improves neither the forecast accuracy nor the performance of minimum-variance portfolios. In contrast, switching from the sample …
Forecasting the size premium over different time horizons
2013
Abstract In this paper, we provide evidence that the small stock premium is predictable both in-sample and out-of-sample through the use of a set of lagged macroeconomic variables. We find that it is possible to forecast the size premium over time horizons that range from one month to one year. We demonstrate that the predictability of the size premium allows a portfolio manager to generate an economically and statistically significant active alpha.
Open innovation: A real option to restore value to the biopharmaceutical R&D
2014
Abstract The pharmaceutical landscape has changed, and new business models, based on alliances, are increasingly being adopted in this industry. Biotechnology advances have pushed this development, and pooling complementary resources coming from incumbents and newcomers is a key skill to succeed: these are the premises for a quick spread of the open innovation (OI) paradigm in this industry. RD to achieve this goal the authors propose a closed-form model that is easy to implement, to evaluate the OI initiative for selecting an optimal RD i.e. licensing-in or not) and the self-financing policy. The proposed model can be easily implemented into a spreadsheet, and the inputs needed to run it a…
Risk assessment and profit sharing in business networks
2011
Abstract Nowadays network is the preferred governance form to conduct economic transactions. Network solution allows to reach flexibility maintaining cost and quality level. Since network concept refers to a great variety of organizational hybrids it is possible to choose the one that fits better market requirements. The new trends in inter-organization relationships push towards network solutions: companies are interested in relationships with partners and customers to overcome resource dependence, to enter too risky market or simply differentiate their business portfolio. The proposed research focuses on the network concept aiming at highlighting threats and opportunities to investigate t…
Current account adjustment and retained earnings
2019
First published online: 04 March 2019 This paper develops a formal strategy to calculate current accounts with retained earnings ( RE) on equity investment and analyzes their adjustment during the global financial crisis. RE are the part of companies' profits which is reinvested and not distributed to shareholders as dividends. International statistical standards treat RE on foreign direct investment and RE on portfolio investment differently: while the former enter the current and financial account, the latter do not. We show that this differential treatment strongly affects current accounts of several advanced economies, frequently referred to as financial centers, with large positions in…
Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance
2009
The main purpose of this paper is to present a theoretically sound portfolio performance measure that takes into account higher moments of the distribution of returns. First, we perform a study of the investor's preferences to higher moments of distribution within expected utility theory and discuss the performance measurement. To illustrate the investor's preferences to higher moments and the computation of a performance measure, we provide an approximation analysis of the optimal capital allocation problem and derive a formula for the Sharpe ratio adjusted for skewness of distribution. This performance measure justifies the notion of the Generalized Sharpe Ratio (GSR) introduced by Hodges…
Women and Repayment in Microfinance: A Global Analysis
2011
NOTICE: this is the author’s version of a work that was accepted for publication in World Development. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in World Development, 39(5), 758-772 http://dx.doi.org/10.1016/j.worlddev.2010.10.008 This paper uses a global data set of 350 microfinance institutions (MFIs) in 70 countries to study the common belief that women are generally better credit risks in microfinance than men. The r…
The effects of monetary policy on income and wealth inequality in the U.S. Exploring different channels
2020
We assess the effects of monetary policy shocks on income and wealth inequality through direct inequality measures and by analyzing several transmission channels explored in recent literature. Furthermore, we analyze two additional channels: the Housing and the Fiscal channels. The methodology adopted is a Bayesian proxy SVAR using a high-frequency identification based on the external instruments approach. Our own policy shocks are constructed for this purpose. The results show that an expansionary monetary policy shock does not have a significant effect on income inequality due to the existence of opposite channels, whereas it increases wealth inequality mainly through the portfolio channe…
Portfolio performance and the Euro: Prospects for new potential EMU members
2008
Abstract Entering the EMU removes currency risk for assets originating in the Euro area while diversification opportunities are likely reduced. Taking the perspective of an investor in one of the 12 countries that joined the EU in 2004–2007, we contrast actual optimal composition of international equity holdings against two artificial scenarios: costless hedging against exchange rate risk and presuming the local market to be part of the EMU. State specific optimal portfolios are determined from realized covariances for the period 2000–2006. Optimized risk is found smaller under currency unification and implied Sharp ratios signal significant benefits of EMU participation.