Prospective utility and time-varying optimal asset allocation for the UK: 1803-1995

Author(s):

Stephen Thomas

In this talk, Professor Thomas re-examines one approach based on myopic loss aversion, while incorporating time variation in returns distributions.

Updated: 06/03/2012
Comments:
Views: 7,528

Risk management before and after the Credit Crunch: how will the crisis change the theory and the practice of investment risk management?

Some risk models failed badly during the credit crunch. Numerous commentators, including Lord Turner in his March 2009 Review, have raised fundamental questions about the validity of Value at Risk (VaR) as a measure of risk. This talk reviews the lessons from the credit crunch. Not all models performed badly but many did, and for a variety of different reasons.

Updated: 06/03/2012
Comments:
Views: 9,496

Assessing the benefits of international portfolio diversification in bonds and stocks

Author(s):

Lucio Sarno

This paper considers a stylized asset pricing model where the returns from exchange rates, stocks and bonds are linked by basic risk-arbitrage relationships.

Updated: 31/05/2012
Comments:
Views: 5,368

Arbitrage in the foreign exchange market: turning on the Microscope

Author(s):

Lucio Sarno

This paper investigates the presence and characteristics of arbitrage opportunities in the foreign exchange market using a unique data set for three major capital and foreign exchange markets that covers a period of more than seven months at tick frequency, obtained from Reuters on special order.

Updated: 27/10/2011
Comments:
Views: 5,144

Profitability, capacity, and uncertainty: a model of UK manufacturing investment

Author(s):

Giovanni Urga

 et al.

Standard models fail to explain variation in UK capital investment. This paper develops and tests a new theory based on the insights of Edmond Malinvaud, in which investment under uncertainty is adjusted to balance the cost of excess and deficient capacity.

Updated: 27/10/2011
Comments:
Views: 5,768

Irrational diversification: an examination of the portfolio construction decision

Author(s):

We study the portfolio construction decision of a typical investor and find strong evidence for a conditional 1/n diversification heuristic.

Updated: 22/09/2011
Comments:
Views: 4,981

Downside risk aversion, fixed income exposure, and the value premium puzzle

The value premium substantially reduces for downside risk averse investors with a substantial fixed income exposure, such as insurance companies and pension funds.

Updated: 22/09/2011
Comments:
Views: 6,701

A portfolio optimality test based on the first-order stochastic dominance criterion

Existing approaches to testing for the efficiency of a given portfolio make strong parametric assumptions about investor preferences and return distributions.

Updated: 29/09/2011
Comments:
Views: 5,407

On the performance of emerging market equity mutual funds

We document persistence in the performance of emerging market equity funds and find some notable differences compared to US funds.

Updated: 22/09/2011
Comments:
Views: 5,478