Search results for "Portfolio"
showing 10 items of 303 documents
Scenario optimization asset and liability modelling for individual investors
2006
We develop a scenario optimization model for asset and liability management of individual investors. The individual has a given level of initial wealth and a target goal to be reached within some time horizon. The individual must determine an asset allocation strategy so that the portfolio growth rate will be sufficient to reach the target. A scenario optimization model is formulated which maximizes the upside potential of the portfolio, with limits on the downside risk. Both upside and downside are measured vis- `a-vis the goal. The stochastic behavior of asset returns is captured through bootstrap simulation, and the simulation is embedded in the model to determine the optimal portfolio. …
A new approach to portfolio selection based on forecasting
2023
In this paper we analyze the portfolio selection problem from a novel perspective based on the analysis and prediction of the time series corresponding to the portfolio’s value. Namely, we define the value of a particular portfolio at the time of its acquisition. Using the time series of historical prices of the different financial assets, we calculate backward the value that said portfolio would have had in past time periods. A damped trend model is then used to analyze this time series and to predict the future values of the portfolio, providing estimates of the mean and variance for different forecasting horizons. These measures are used to formulate the portfolio selection problem, whic…
Do sovereign ratings cause instability in cross-border emerging CDS markets?
2020
We analyse the cross-border transmission effect of credit ratings on sovereign CDSs covering a broad sample of emerging countries during the period 2004 to 2015. This study differentiates between the spillover and competition effects between and within geographical areas of emerging countries. We find substantial evidence of cross-border effects with asymmetric responses to upgrades and downgrades. The market reaction differs across regions, reflecting how the international and local impact of rating events are due to different types of effects. At the international portfolio level, the competitive effect is dominant over the spillover effect. Negative events in Asia benefit Africa (which i…
On the Determinants of the Going Public Decision in Spain
2008
Though the going public decision has been addressed by several theories, empirical research is particularly scarce to European countries. This is the first research in the Spanish market that investigates ex ante and ex post characteristics of IPO firms, using a large database of private held firms that potentially may go public. Some of our results are consistent with previous studies. Our evidence suggests that firms that go public are young firms with large capital expenditures previously to the IPO. However, a firm's need to finance activity is not the main motive to go public, but to achieve the proper conditions to rebalance firm's economic and financial structure. Our results are con…
A Simulation Analysis of the Microstructure of an Order Driven Financial Market with Multiple Securities and Portfolio Choices
2005
In this paper we propose an artificial market where multiple risky assets are exchanged. Agents are constrained by the availability of resources and trade to adjust their portfolio according to an exogenously given target portfolio. We model the trading mechanism as a continuous auction order-driven market. Agents are heterogeneous in terms of desired target portfolio allocations, but they are homogeneous in terms of trading strategies. We investigate the role played by the trading mechanism in affecting the dynamics of prices, trading volume and volatility. We show that the institutional setting of a double auction market is sufficient to generate a non-normal distribution of price changes…
Going Public – Going Private: The Case of VC-Backed Firms
2012
We investigate the decisions of listed firms to go private once again. We start by revealing that while a significant number of firms which go public is VC-backed, an overproportional share of these VC-backed firms go private later on (they stay on the exchange for an average of 8.5 years). We interpret this very robust pattern such that IPOs of VC-backed firms are to a large extent a temporary rather than a permanent feature of the corporate governance of these firms.We investigate various potential hypotheses why VCs actually seem to be able to bring marginal firms to the exchange by relating the going-private decisions to various characteristics of the IPO market as well as to VC charact…
The Effect of Credit Rating Events on the Emerging CDS Market
2017
We document the cross-border spillover impact of S&P sovereign credit rating events on sovereign CDS using an extensive sample of emerging economies. First, we find on average a competition (imitation) effect of downgrades (upgrades) among emerging portfolios. Results confirms that non-event portfolios responds positively to credit deteriorations in terms of an improvement in sovereign credit risk. Second, the sovereign credit risk of non-event countries within the same portfolio benefit (suffer) from downgrades (upgrades). As expected, this implies a competition effect in terms of sovereign credit risk. Moreover, we find that downgrades are more likely to spill over into other emerging mar…
Corruption, Carry Trades, and the Cross Section of Currency Returns
2017
This is the first paper to explore the effects of perceived corruption on the FX market. It finds that the currencies of countries perceived to suffer from high levels of corruption generate statistically significantly lower returns than the currencies of countries perceived to have low levels of corruption. Moreover, the portfolio spread is highly correlated with NBER recessions and U.S. consumption growth of nondurable goods. Interestingly, stochastic discount factor model analysis reveals that the portfolio spread is useful for pricing the cross section of currency returns, even when controlling for standard FX risk factors.
LR-NIMBUS : an interactive algorithm for uncertain multiobjective optimization with lightly robust efficient solutions
2022
In this paper, we develop an interactive algorithm to support a decision maker to find a most preferred lightly robust efficient solution when solving uncertain multiobjective optimization problems. It extends the interactive NIMBUS method. The main idea underlying the designed algorithm, called LR-NIMBUS, is to ask the decision maker for a most acceptable (typical) scenario, find an efficient solution for this scenario satisfying the decision maker, and then apply the derived efficient solution to generate a lightly robust efficient solution. The preferences of the decision maker are incorporated through classifying the objective functions. A lightly robust efficient solution is generated …
Risk Management for Sustainable Sovereign Debt Financing
2021
We model sovereign debt sustainability with optimal financing decisions under macroeconomic, financial, and fiscal uncertainty, with endogenous risk and term premia. Using a coherent risk measure we trade-off debt stock and flow risks subject to sustainability constraints. We optimize static and dynamic financing strategies and demonstrate economically significant savings from optimal financing compared with simple rules and consols, and find that optimizing the trade-offs can be critical for sustainability. The model quantifies minimum refinancing risk and maximum rate of debt reduction that a sovereign can achieve given its economic fundamentals, and an extension identifies optimal timing…