Search results for "Project Portfolio"
showing 5 items of 25 documents
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…
Designing portfolios of financial products via integrated simulation and optimization models
1999
We analyze the problem of debt issuance through the sale of innovative financial products. The problem is broken down to questions of designing the financial products, specifying the debt structure with the amount issued in each product, and determining an optimal level of financial leverage. We formulate a hierarchical optimization model to integrate these three issues and provide constructive answers. Input data for the models are obtained from Monte Carlo simulation procedures that generate scenarios of holding period returns of the designed products. The hierarchical optimization model is specialized for the problem of issuing a portfolio of callable bonds to fund mortgage assets. The …
Continuous-time portfolio optimization under terminal wealth constraints
1995
Typically portfolio analysis is based on the expected utility or the mean-variance approach. Although the expected utility approach is the more general one, practitioners still appreciate the mean-variance approach. We give a common framework including both types of selection criteria as special cases by considering portfolio problems with terminal wealth constraints. Moreover, we propose a solution method for such constrained problems.
The Limits to Volatility Predictability: Quantifying Forecast Accuracy Across Horizons
2018
Volatility forecasting is crucial for portfolio management, risk management, and pricing of derivative securities. Still, little is known about how far ahead one can forecast volatility. First, in this paper we introduce the notions of the spot and forward predicted volatilities and propose to describe the term structure of volatility predictability by the spot and forward forecast accuracy curves. Then, by employing a few popular time-series volatility models, we perform a comprehensive empirical study on the horizon of volatility predictability. Our results suggest that, whereas the spot volatility can be predicted over horizons that extend to 35 weeks, the horizon of the forward volatili…
The value of integrative risk management for insurance products with guarantees
2001
Insurance liabilities are converging with capital markets products (e.g. derivatives and securitizations), thereby increasing the demand for integrated asset and liability management strategies. This article compares the value-added by an integrative approach-based on scenario optimization modelling-relative to traditional risk management methods. The authors present some examples of products offered by the insurance industry in Italy, and apply the results of the analysis to the design of competitive insurance policies. © Emerald Backfiles 2007.