Download e-book for kindle: Asset Allocation and International Investments (Finance and by Greg N. Gregoriou

By Greg N. Gregoriou

ISBN-10: 023001917X

ISBN-13: 9780230019171

ISBN-10: 0230626513

ISBN-13: 9780230626515

This booklet is ready strategic asset allocation for institutional traders. it truly is an edited sequence of papers, from revered lecturers around the world, at the most recent advancements in portfolio administration, together with new clinical articles that aid to spot new traits. those professional stories can successfully enhance the chance and go back features of your funding portfolio.

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Extra resources for Asset Allocation and International Investments (Finance and Capital Markets)

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Panel B gives the required compensation for an international investor to ignore regime-switching. 6 percent per year. Comparing Panel B with the regime-switching strategies of Panel A, we see that the economic gains are about 30 percent (on average) lower in Panel B than in Panel A. In Panel A, only 30 percent of the certainty equivalents can be attributed to international diversification, and 70 percent result from to taking into account the possibility of regime-switches. In Panel C, we present the results on the economic significance of the regimes for the optimal hedging strategy.

For example, we find that the Jarque–Bera statistics of the UK excess returns are above 2,000. In contrast, under the chosen specifications of the regime-switching models, the statistics for the UK are mainly below 20 during the period of the out-of-sample test. Hence, we are well advised to use a regime-switching model to account for the skewed and fat tails of stock market returns. In particular, for the subsequent analysis we shall use three regimes for both the unhedged and the optimal hedging strategy, and two regimes for the fully hedged strategy.

We therefore premise that the bubble 14 T I M E -V A R Y I N G D O W N S I D E R I S K can be defined ex post from a larger probability occurring in the tails of the distribution, observed conditionally over time – from rolling observations used to estimate the degree of “bubbliness” in the market. Although the results presented here are preliminary in nature, they provide an extremely innovative and interesting avenue for further research into the notion of bubbles in financial markets. The use of the art market, which represents a market in which deviations from fundamental values are much more likely, provides a particularly interesting market with which to observe such measures.

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Asset Allocation and International Investments (Finance and Capital Markets) by Greg N. Gregoriou

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