Stock Return Predictability and Asset Pricing Modelsdoi:10.2139/ssrn.260595This paper develops an asset allocation framework that incorporates prior beliefs about the extent of stock return predictability explained by asset pricing modSocial Science Electronic Publishing...
3. An AHP-GRA method for asset allocation: A case study of investment firms on Tehran Stock Exchange [J] . Salardini F. Decision Science Letters . 2013,第4期 机译:AHP-GRA资产分配方法:以德黑兰证券交易所投资公司为例 4. Hybrid stock-investment models and asset allocation [C] . Zha...
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The idea is that asset allocation between stocks and bonds is related to their relative yields. When the bond yield is too high, a shift out of stocks into bonds can cause an equity market correction. This model predicted the 1987, 2000, and 2002 corrections in the United States and the ...
Predictability of stock returns and asset allocation under structural breaks This paper adopts a new approach that accounts for breaks to the parameters of return prediction models both in the historical estimation period and at fut... D Pettenuzzo,A Timmermann - 《Journal of Econometrics》 被引量...
TheiShares Core Growth Allocation ETF (AOR), which is based on an allocation of 60% to equities and 40% to fixed income, is on pace for a 1.6% loss for the week as both asset classes saw price declines. The episode was reminiscent of last year when stocks and bonds suffered losses, ...
Using calibrated models we then show an example of simulation-based pricing and report on the adequacy of using leveraged Lévy models to value equity structured products. One explanation of the documented negative relation between market volatilities and the level of asset prices (the 'smile' or ...
In particular, we neglect important specific features of housing, such as its nature as a physical and illiquid asset, the existence of a flexible supply and the impact of housing consumption (rental market). From a formal perspective, the models’ two risky markets may even be regarded as ...
3.4. Stage: 4: evaluation of stock rate of return per cluster (asset allocation) After calculating the rate of return (Ri) using the trading rules discussed previously, the next thing is to select the possible number of companies per cluster to include in the portfolio. This paper set some...