Dynamic Asset Allocation Techniques

2009 ◽  
Vol 15 (3) ◽  
pp. 573-655 ◽  
Author(s):  
S. Jarvis ◽  
A. Lawrence ◽  
S. Miao
Keyword(s):  
Asset Allocation ◽  
Investment Strategy ◽  
Trading Strategies ◽  
Investment Strategies ◽  
Dynamic Asset Allocation ◽  
Dynamic Investment ◽  
Tactical Asset Allocation ◽  
Relationship Of ◽  
The Relationship

ABSTRACTInvestment strategy is often static, punctuated by infrequent reviews. For most long-term investors, this practice results in large risks being taken that could otherwise be managed with a more dynamic investment policy. The bulk of this paper is aimed at analysing and describing two multi-period investment strategy problems — in order to derive potential dynamic strategies. Along the way, we show how static investment strategies can fail to deliver an investor's long-term objectives and describe the relationship of our work to other areas of the finance literature. This paper does not cover trading strategies such as Tactical Asset Allocation.This paper sets out two main approaches to the multi-period problem. The first approach optimises a utility function. The second approach uses partial differential equation (PDE) technology to optimise a target statistic (in this case, TailVaR) subject to return and long-only constraints.

scholarly journals Impact of Portfolio Strategies on Portfolio Performance and Risk

2018 ◽  
Vol 10 (1) ◽  
pp. 73
Author(s):  
Zunera Shaukat ◽  
Ahmad Shahzad
Keyword(s):  
Asset Allocation ◽  
Stock Prices ◽  
Sharpe Ratio ◽  
Portfolio Performance ◽  
Dynamic Asset Allocation ◽  
Portfolio Strategies ◽  
Tactical Asset Allocation ◽  
The Difference ◽  
Post Hoc ◽  
The Relationship

The Portfolio strategies are the effective investment tools pertaining to active and passive investment approaches. This signifies the investor’s inclination of buying and selling the risky and risk-free assets. The research includes four strategies namely buy and hold strategy, dynamic asset allocation, strategic asset allocation and tactical asset allocation along with their dimensions. Strategies based hypothetical portfolios are generated on the basis of 14 years’ stock prices (2005-2017). The annually and monthly risk-adjusted return ratios; Sharpe ratio, Treynor’s measure, CAPM and Jenson Alpha are calculated individually. Simulated annualized portfolios generate significant result with Sharpe and treynor measure. Alpha return is generated with buy and hold if based on growth in stock prices. For empirical result, One-way analysis of variance (ANOVA) is used for studying the relationship between the strategies. Post hoc Tukey’s test is applied to find the difference between the strategies. The ANOVA and Tukey’s post hoc test for monthly portfolios gives significant results with three measure Sharpe ratio, CAPM and Jenson Alpha. No empirical significant result is measured on the basis of treynor measure.

scholarly journals FROM RAGS TO RICHES: ON CONSTANT PROPORTIONS INVESTMENT STRATEGIES

2002 ◽  
Vol 05 (06) ◽  
pp. 563-573 ◽  
Author(s):  
IGOR V. EVSTIGNEEV ◽  
KLAUS REINER SCHENK-HOPPÉ
Keyword(s):  
Financial Market ◽  
Asset Allocation ◽  
Trading Strategies ◽  
Investment Strategies ◽  
Exponential Rate ◽  
Dynamic Asset Allocation ◽  
Stationary Stochastic Processes ◽  
Fixed Constant ◽  
Allocation Strategies ◽  
Constant Prices

This paper studies the performance of self-financing constant proportions trading strategies, i.e. dynamic asset allocation strategies that keep a fixed constant proportion of wealth invested in each asset in all periods in time. We prove that any self-financing constant proportions strategy yields a strictly positive exponential rate of growth of investor's wealth in a financial market in which prices are described by stationary stochastic processes and the price ratios are non-degenerate. This result might be regarded as being counterintuitive because any such strategy yields no increase of wealth under constant prices. We further show that the result also holds under small transaction costs, which is important for the viability of this approach, since constant proportions strategies require frequent rebalancing of the portfolio.

Hot and Cold Strategies: Australian Evidence

2011 ◽  
Vol 14 (02) ◽  
pp. 271-295 ◽  
Author(s):  
Vikash Ramiah ◽  
Tafadzwa Mugwagwa ◽  
Tony Naughton
Keyword(s):  
Stock Returns ◽  
Asset Allocation ◽  
High Frequency ◽  
Trading Volume ◽  
Stock Exchange ◽  
Short Selling ◽  
Investment Strategies ◽  
Tactical Asset Allocation ◽  
Momentum Trading ◽  
The Relationship

The main purpose of this paper is to explore a high-frequency tactical asset allocation strategy. In particular, we investigate the profitability of momentum trading and contrarian investment strategies for equities listed on the Australian Stock Exchange (ASX). In these two strategies we take into consideration the short-selling restrictions imposed by the ASX on the stocks used. Within our sample portfolios we look at the relationship between stock returns and past trading volume for these equities. This research also investigates the seasonal aspects of contrarian portfolios and observes weekly, monthly and yearly effects. We report significant contrarian profits for the period investigated (from 2001 to 2006) and show that contrarian profit is a persistent feature for the strategies examined. We also document that contrarian portfolios earn returns as high as 6.54% per day for portfolios with no short-selling restrictions, and 4.71% in the restricted model. The results also support the view that volume traded affects stock returns, and show that market imperfections such as short-selling restrictions affect investors' returns.

scholarly journals Domain randomization-enhanced deep learning models for bird detection

2021 ◽  
Vol 11 (1) ◽  
Author(s):  
Xin Mao ◽  
Jun Kang Chow ◽  
Pin Siang Tan ◽  
Kuan-fu Liu ◽  
Jimmy Wu ◽  
...  
Keyword(s):  
Deep Learning ◽  
Continuous Monitoring ◽  
Bird Species ◽  
Training Data ◽  
Learning Models ◽  
Fine Grained ◽  
Bird Detection ◽  
Relationship Of ◽  
The Relationship

AbstractAutomatic bird detection in ornithological analyses is limited by the accuracy of existing models, due to the lack of training data and the difficulties in extracting the fine-grained features required to distinguish bird species. Here we apply the domain randomization strategy to enhance the accuracy of the deep learning models in bird detection. Trained with virtual birds of sufficient variations in different environments, the model tends to focus on the fine-grained features of birds and achieves higher accuracies. Based on the 100 terabytes of 2-month continuous monitoring data of egrets, our results cover the findings using conventional manual observations, e.g., vertical stratification of egrets according to body size, and also open up opportunities of long-term bird surveys requiring intensive monitoring that is impractical using conventional methods, e.g., the weather influences on egrets, and the relationship of the migration schedules between the great egrets and little egrets.

DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH

2021 ◽  
pp. 1-26
Author(s):  
Jin Sun ◽  
Dan Zhu ◽  
Eckhard Platen
Keyword(s):  
Asset Allocation ◽  
Dynamic Asset Allocation ◽  
Growth Optimal Portfolio ◽  
Risky Assets ◽  
Target Date ◽  
Target Date Funds ◽  
Asset Allocations ◽  
Investment Choices ◽  
Glide Paths

ABSTRACT Target date funds (TDFs) are becoming increasingly popular investment choices among investors with long-term prospects. Examples include members of superannuation funds seeking to save for retirement at a given age. TDFs provide efficient risk exposures to a diversified range of asset classes that dynamically match the risk profile of the investment payoff as the investors age. This is often achieved by making increasingly conservative asset allocations over time as the retirement date approaches. Such dynamically evolving allocation strategies for TDFs are often referred to as glide paths. We propose a systematic approach to the design of optimal TDF glide paths implied by retirement dates and risk preferences and construct the corresponding dynamic asset allocation strategy that delivers the optimal payoffs at minimal costs. The TDF strategies we propose are dynamic portfolios consisting of units of the growth-optimal portfolio (GP) and the risk-free asset. Here, the GP is often approximated by a well-diversified index of multiple risky assets. We backtest the TDF strategies with the historical returns of the S&P500 total return index serving as the GP approximation.

Technology and Employment in Developing Countries

1978 ◽  
Vol 16 (4) ◽  
pp. 549-564 ◽  
Author(s):  
J. W. Garmany
Keyword(s):  
Developing Countries ◽  
Optimum Combination ◽  
Current Consumption ◽  
The Creation ◽  
Relationship Of ◽  
The Relationship ◽  
Choice Of Technology

This article discusses some of the issues involved in the choice of technology in developing countries, especially those in Africa, and the relationship of this to employment and output. The problem is to find an optimum combination of productive resources that comes nearest to satisfying two objectives: the full and economically efficient utilisation of such resources, and the creation of as much surplus as possible over current consumption, thereby making possible new investment and long-term growth.

scholarly journals The Relationship between Reputation, Customer Satisfaction, Trust, and Loyalty

2014 ◽  
Vol 4 (3) ◽  
pp. 368 ◽  
Author(s):  
Roshana Gul
Keyword(s):  
Customer Satisfaction ◽  
Customer Loyalty ◽  
Significant Relationship ◽  
Positive Sign ◽  
Medical College ◽  
Independent Variable ◽  
Relationship Of ◽  
The Relationship ◽  
Self Administered Questionnaire

Though a lot of studies have been done to conclude customer loyalty as dependent variable but still there is a vast margin of researches to be conducted in future in different spheres of this construct. On the other hand the truth of the importance of customer loyalty as an enduring asset cannot be falsified. It is fundamental for organizations to build up long term and mutual beneficial associations with the customers. The purpose of this research paper is to show the inter relationship of reputation, customer satisfaction and trust on customer loyalty. According to the observations reputation is the major independent variable that has significant relationship with customer satisfaction, customer loyalty, and trust. Data for this research study was taken from the Islamia University, Quaid-e-Azam Medical College, and different banks located at various geographic locations of Bahawalpur region of Pakistan. Data was collected through self administered questionnaire and analyzed by using regression through SPSS. The results have been drawn from 150 users of NISHAT LINEN and it was found that there is positive and significant relationship among reputation, customer satisfaction, trust and customer loyalty. Hence the studies give the positive sign that with the increment of reputation, customer satisfaction and trust the customer loyalty enhances.  

MERGE OF THE TECHNİCAL ANALYSİS TYPES GİVES THE BEST RESULTS İN CRYPTOCURRENCY MARKET

2021 ◽  
Vol 6 (14) ◽  
pp. 89-97
Author(s):  
MUSTAFA ÖZYEŞİL ◽  
MOHAMMAD AL-TARIFI
Keyword(s):  
Supply And Demand ◽  
Investment Strategy ◽  
Proof Of Concept ◽  
Market Capitalization ◽  
Long Run ◽  
Peer Network ◽  
Tangible Asset ◽  
The Relationship ◽  
Peer To Peer Network

Cryptocurrencies are a modern kind of financial instrument (Hudson & Urquhart, 2019), the first cryptocurrency is Bitcoin , proposed by who called Satoushi Nakamato (2008), as The open source was created on the proof-of-concept principle that transactions can be securely treated on a decentralized peer to peer network without the need for a central clearinghouse, which appeared 2009 ( Heid, 2013). The success of the bitcoin blazes a trail to what called ‘Altcoin” this expression means all the cryptocurrencies that set in motion after the victory of the bitcoin, these coins sell themselves as the best alternatives for the bitcoin (FRANKENFIELD, 2020) . There are many types for the altcoin. The third type of the cryptocurrency is called Tokens Unlike Bitcoin and Altcoins, tokens are not able to activate independently and are dependent on the grid of another cryptocurrency. That means they do not have their own core DLT or blockchain, but instead, are built on top of an existing cryptocurrency’s blockchain (Types of cryptocurrencies: explaining the major types of cryptos, 2019). The worth of bitcoin doesn’t depend on any tangible asset or economies of the countries while it is based upon the security of an algorithm which traces all transactions (Hudson & Urquhart, 2019). The studies determine the number of the bitcoin price development in the long -run (Ciaian, Rajcaniova, & Kancs, 2018): • Market forces of the Bitcoin supply and demand • The bitcoin’s attractiveness for the investors • The influence of global macro-financial developments If you're forming an investment strategy designed to help you trail long-term financial intentions, understanding the relationship between company size, return potential, and risk is vital. (Market cap—or market capitalization—refers to the total value of all a company's shares of stock, 2017) .Hence , Manifested importance a cryptocurrency’s market capitalization as the total values of all coins currently in circulation. the cryptocurrency’s market cap contains what’s called Bitcoin Dominance that is the ratio between the market cap of bitcoin to other coins of the cryptocurrency markets (jacobcanfield, 2019) . Cryptocurrency trade is attractive type of investment. this market treated the same of the foreign exchange and stock market ( Radityo, Munajat, & Budi, 2017). The investors using the same basic in investment (buy low, sell high) but they need to calculating the risks

scholarly journals Astrometric and Photometric Variability in Quasars

2009 ◽  
Vol 5 (S267) ◽  
pp. 103-103
Author(s):  
A. H. Andrei ◽  
S. Bouquillon ◽  
J. L. Penna ◽  
F. Taris ◽  
S. Anton ◽  
...  
Keyword(s):  
Strong Support ◽  
Optical Emission ◽  
Optical Observations ◽  
Massive Black Hole ◽  
Full Account ◽  
Photometric Variability ◽  
Central Engine ◽  
Relationship Of ◽  
The Relationship

Quasars are the choicest objects to define a quasi-inertial reference frame. At the same time, they are active galactic nuclei powered by a massive black hole. As the astrometric precision of ground-based optical observations approaches the limit set by the forthcoming GAIA mission, astrometric stability can be investigated. Though the optical emission from the core region usually exceeds the other components by a factor of a hundred, the variability of those components must surely imply some measure of variability of the astrometric baricenter. Whether this is confirmed or not, it puts important constraints on the relationship of the quasar's central engine to the surrounding distribution of matter. To investigate the correlation between long-term optical variability and what is dubbed as the “random walk” of the astrometric center, a program is being pursued at the WFI/ESO 2.2m. The sample was selected from quasars known to undergo large-amplitude and long-term optical variations (Smith et al. 1993; Teerikorpi 2000). The observations are typically made every two months. The treatment is differential, comparing the quasar position and brightness against a sample of selected stars for which the average relative distances and magnitudes remain constant. The provisional results for four objects bring strong support to the hypothesis of a relationship between astrometric and photometric variability. A full account is provided by Andrei et al. (2009).

scholarly journals Career Satisfaction Based on Trust and Proactive Personality

2020 ◽  
Vol 9 (1) ◽  
pp. 35-45
Author(s):  
Iwan Sunardi ◽  
Vini Wiratno Putri
Keyword(s):  
Career Satisfaction ◽  
Analytical Data ◽  
Sampling Technique ◽  
Test Methods ◽  
Validity And Reliability ◽  
Career Needs ◽  
Relationship Of ◽  
The Relationship ◽  
The City

The purpose of this study was to examine the effect of the trust of co-workers and proactive personalities on career satisfaction by exchanging leader-members as mediation on employees of bus assembly companies in the city of Semarang. Career satisfaction is the phase in which employees’ long-term career needs are aligned with what they get while working. Employees will always look for opportunities and trust in the organization and people who will help them in achieving career satisfaction. The sampling method uses a purposive sampling technique in the category of staff and foreman employees who have worked for more than five years with a sample of 160 employees. The analytical data in this study uses descriptive statistical test methods, instinctual tests include validity and reliability, and hypothesis testing. The tool used to test in this study uses SmartPLS 3.0. The results of this study, colleague trust cannot directly influence career satisfaction. However, it can be mediated by the exchange of leader members and produce significant influence. For further researchers, they can re-examine the relationship of coworkers’ trust with career satisfaction. And can expand the object of research or respondents under study.

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