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Wednesday, August 5, 2020 | History

4 edition of International asset allocation under regime switching, skew and kurtosis preferences found in the catalog.

International asset allocation under regime switching, skew and kurtosis preferences

Massimo Guidolin

International asset allocation under regime switching, skew and kurtosis preferences

by Massimo Guidolin

  • 47 Want to read
  • 7 Currently reading

Published by Federal Reserve Bank of St. Louis in [St. Louis, Mo.] .
Written in English

    Subjects:
  • Asset allocation -- Econometric models.

  • Edition Notes

    Statementby Massimo Guidolin and Allan Timmerman.
    SeriesWorking paper ;, 2005-034A, Working paper (Federal Reserve Bank of St. Louis : Online) ;, 2005-034A.
    ContributionsTimmerman, Allan., Federal Reserve Bank of St. Louis.
    Classifications
    LC ClassificationsHB1
    The Physical Object
    FormatElectronic resource
    ID Numbers
    Open LibraryOL3479009M
    LC Control Number2005619308

    International asset allocation under regime switching, skew and kurtosis preferences by Massimo Guidolin & Allan Timmerman; Home Bias and High Turnover in an Overlapping‐generations Model with Learning by Massimo Guidolin; The economic effects of violent conflict: evidence from asset market reactions by Massimo Guidolin & Eliana La Ferrara.   Abstract. This paper studies asset allocation decisions in the presence of regime switching in asset returns. We find evidence that four separate regimes - characterized as crash, slow growth, bull and recovery states - are required to Cited by:

    Mean-Variance-Skewness-Kurtosis Portfolio Optimization with Return and Liquidity Xiaoxin W. Beardsley1, Brian Field2 and Mingqing Xiao3 Abstract In this paper, we extend Markowitz Portfolio Theory by incorporating the mean, variance, skewness, and kurtosis of both return and liquidity into an investor’s objective function. Asset Allocation using Regime Switching Methods Sarthak Garg Master of Applied Science Department of Mechanical & Industrial Engineering University of Toronto Abstract The aim of this thesis is to develop a Markov Regime Switching framework that can be used in asset allocation in conjunction with Modern Portfolio : Sarthak Garg.

    Preface From the very beginning of the writing of this thesis until the very end, I was privileged to beneflt from an environment, which provided me with great help and support. Calibrating the Skewness and Kurtosis Preference of Chen () reported that regime-switching models fit the downside risk well. Secondly, there is the literature on value at risk, VaR. VaR has been a standard tool for • Changes in volatility affect very strongly the asset allocation in a CRRA framework.


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International asset allocation under regime switching, skew and kurtosis preferences by Massimo Guidolin Download PDF EPUB FB2

International asset allocation under regime switching, skew, and kurtosis preferences In the context of a four-moment International Capital Asset Pricing Model (ICAPM) specification that relates stock returns in five regions to returns on a global market portfolio and allows for time-varying prices of covariance, co-skewness, and co Cited by: Request PDF | International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences | This paper investigates the international asset allocation effects of.

International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences Article in Review of Financial Studies 21(2) February with 59. Massimo Guidolin & Allan Timmermann, "International asset allocation under regime switching, skew, and kurtosis preferences," Review of Financial Studies, Society for Financial Studies, vol.

21(2), pagesApril. International Asset Allocation under Regime Switching, Skew, and Kurtosis Preferences be quite different under third-moment preferences compared to the standard mean-variance case.3 Second, we model returns by means of a four-moment IC APM with regimes that capture time-variations in the risk premia, volatility, correlations, skew.

Downloadable (with restrictions). This paper investigates the international asset allocation effects of time-variations in higher-order moments of stock returns such as skewness and kurtosis.

In the context of a four-moment International Capital Asset Pricing Model (ICAPM) specification that relates stock returns in five regions to returns on a global market portfolio and allows for time.

Optimal Portfolio Choice under Regime Switching, Skew and Kurtosis Preferences Massimo Guidolin University of Virginia Allan Timmermann University of California, San Diego JEL code: G12 Abstract This paper proposes a new tractable approach to solving multi-period asset allocation prob-lems.

Our paper therefore offers a new explanation of the strong home bias observed in US investors' asset allocation, based on regime switching, skew and kurtosis preferences and predictability from the short US interest rate. * Allan Timmermann is Professor of Management and Economics at the University of California San Diego.

model. We show that a regime-switching(RS) model reproduces the asymmetric exceedance correlations, whereas standard models, such as multivariate normal or asymmetric GARCH models, do not.

Second, we numerically solve and developintuition on the dynamic asset allocation problem. Asset allocation dynamics and pension fund performance: Mutual fund performance: evidence from the UK: Forecasting time series subject to multiple structural breaks: A recursive modelling approach to predicting UK stock returns: International asset allocation under regime switching, skew, and kurtosis preferencesWebsite: Home page.

Guidolin, A. TimmermannInternational asset allocation under regime switching, skew and kurtosis preferences Review of Financial Studies, 21 (2) (), pp. Google ScholarCited by: International Asset Allocation With Regime Shifts is the return on U.S. equity, and also with the case of an investable risk-free asset, where the Nth asset is a one-period risk-free bond.

The optimal portfolio weights ∗ t solve Equation (6). Note that t has N−1 degrees ofCited by:   AbstractA flexible multivariate model of a time-varying joint distribution of asset returns is developed which allows for regime switching and a joint skew-normal distribution.

A suite of tests for linear and nonlinear financial market contagion is developed within the framework. The model is illustrated through an application to contagion between US and Cited by: 1. Guidolin, M. and Timmermans, A. (b) “International Asset Allocation under Regime-Switching, Skew and Kurtosis Preferences”, Working Paper, Federal Reserve Bank of St.

Louis. Google Scholar Guidolin, M. and Timmermann, A. () “An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns”, Journal Author: Markus Leippold, Felix Monger.

"International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences," with Allan Timmermann, Review of Financial Studies, Vol. 21, No. 2, pp. "Diversifying in Public Real Estate: the Ex-Post Performance," with Carolina Fugazza and.

Massimo Guidolin has written: 'Optimal portfolio choice under regime switching, skew and kurtosis preferences' -- subject(s): Asset allocation, Econometric models 'Size.

3 Markov-Switching Mixtures 27 4 Strategic Asset Allocation 61 5 Regime-Based Asset Allocation 71 6 Summary and Conclusion 83 References 87 A R-code 93 B Parameter Estimates C Additional Figures and Tables The method measure firms’ book-to-market ratios as the book value of equity scaled by the market value of equity at the end of each fiscal year.

International asset allocation under regime switching, skew, and kurtosis preferences. The Rev Financ Stud Lehrer J () How We Decide. HMH : Marco Antonio Souza Cauduro. "Equity Portfolio Diversification under Time-Varying Predictability and Comovements: Evidence from Ireland, the US, and the UK" with Stuart Hyde Journal of Multinational Financial Management, Vol.

18, No. 4, pp. Working Paper "International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences". Dynamic asset allocation under regime switching. An in-sample and out-of-sample study under the Copula-Opinion Pooling framework - Andrea Bartolucci - Master's Thesis - Business economics - Investment and Finance - Publish your bachelor's or master's thesis, dissertation, term paper or essay.

ASSET ALLOCATION WITH REGIME-SWITCHING: DISCRETE-TIME CASE BY KA CHUN CHEUNG AND HAILIANG YANG ABSTRACT In this paper, we study the optimal asset allocation problem under a discrete regime switching model. Under the short-selling and leveraging constraints, the existence and uniqueness of the optimal trading strategy are obtained.

We also. Part of the International Series in Operations Research & Management Science book series (ISOR, volume ) Abstract I investigate the optimal portfolio implications of their joint presence for non-myopic investors in arbitrage-free markets when such risks take the form of asset value by: 1.To solve the asset allocation problem in regime switching structures, we follow Guidolin and Timmermann (), utilizing a technique also implemented in Ang and Bekaert ().

These papers explore the asset allocation optimization through maximizing the expected utility function within a multiperiod time horizon.