Equilibrium analysis of one aggressive investment strategy

2014 ◽  
Vol 01 (04) ◽  
pp. 1450036
Author(s):  
Junya Jiang ◽  
Weidong Tian
Keyword(s):  
Investment Strategy ◽  
Equilibrium Analysis ◽  
Portfolio Insurance ◽  
Conservative Strategy ◽  
Investment Opportunities ◽  
High Return

This paper presents an equilibrium analysis of one type of aggressive investment strategy that ensures a high return subject to accepting risk. We focus on the comparison between this aggressive strategy and a relatively conservative strategy — portfolio insurance. We demonstrate that the aggressive strategy enlarges investment opportunities, and that the market behaves more stable with the presence of aggressive investors than the market with conservative investors only.

Option Based Portfolio Insurance Revisited

2007 ◽  
Vol 2 (2) ◽  
pp. 195-215
Author(s):  
R. Bouchaib
Keyword(s):  
Transaction Costs ◽  
Asset Allocation ◽  
Investment Strategy ◽  
Theoretical Framework ◽  
Market Impact ◽  
Dynamic Allocation ◽  
Portfolio Insurance ◽  
Dynamic Investment ◽  
Constant Proportion Portfolio Insurance

ABSTRACTIn recent years, Constant Proportion Portfolio Insurance (CPPI) has been the most widely recognised form of portfolio insurance among market practitioners, despite a lack of theoretical framework to support it. This paper presents a revised formulation of Option Based Portfolio Insurance (OBPI) and shows, through a case study, how it can be used as a structured product and applied in practice as a dynamic investment strategy for insurance and pensions funds such as with-profits funds. CPPI and the Revised Option Based Portfolio Insurance (ROBPI) technique adopted in this paper are similar in the sense that they rely on dynamic allocation between risky and risk-free assets to provide downside protection. Comparison between the two methods shows that ROPBI is more efficient and forward looking, giving more information about downside risk and producing less volatile asset allocation, which reduces transaction costs and any market impact.

scholarly journals Investment strategy performance under tracking error constraints

2019 ◽  
Vol 16 (1) ◽  
pp. 239-257 ◽  
Author(s):  
Carig Evans ◽  
Gary van Vuuren
Keyword(s):  
Performance Indicators ◽  
Tracking Error ◽  
Efficient Frontier ◽  
Investment Strategy ◽  
Risk Return ◽  
Portfolio Strategies ◽  
Investment Opportunities ◽  
Strategy Performance ◽  
Relationship Of ◽  
Mean Variance

Recent (2018) evidence identifies the increased need for active managers to facilitate the exploitation of investment opportunities found in inefficient markets. Typically, active portfolios are subject to tracking error (TE) constraints. The risk-return relationship of such constrained portfolios is described by an ellipse in mean-variance space, known as the constant TE frontier. Although previous work assessed the performance of active portfolio strategies on the efficient frontier, this article uses several performance indicators to evaluate the outperformance of six active portfolio strategies over the benchmark – subject to various TE constraints – on the constant TE frontier.

Free Cash Flow as a Determinant of Performance and Stock Price Movement in Multinational Energy Companies

2016 ◽  
Vol 3 (1) ◽  
pp. 11-29 ◽  
Author(s):  
Ahmed Alalawi ◽  
Gagan Kukreja ◽  
Keshav Gupta
Keyword(s):  
Cash Flow ◽  
Stock Price ◽  
Free Cash Flow ◽  
Share Price ◽  
Positive Relation ◽  
Investment Opportunity ◽  
Price Movement ◽  
Investment Opportunities ◽  
High Return ◽  
Energy Companies

We used the Free Cash Flow (FCF) formula to test and determine the performance of these firms, along with testing the correlation with price movement. Previous Studies showed that Free Cash flow has positive correlation with taking investment opportunities, while negative Free Cash flow represent distressed period for the firm. Questions addressed in the article is (1) whether FCF can determine the energy firm’s performance and stock price movement, (2) whether high FCF triggers investing in high return investments, and (3) whether low or negative FCF leads to financially distressed period. The results are consistent with high Free Cash flow will result in greater investment opportunity while low or negative Free Cash flow will result in distressed period for the firm. In addition, the results showed positive relation between Free Cash flow and share price movement.

scholarly journals Investment Opportunities Identification Based on Macroeconomic Development, the Multiple Criteria Decision Approach

Symmetry ◽  
2019 ◽  
Vol 11 (6) ◽  
pp. 827 ◽  
Author(s):  
Veronika Mitkova ◽  
Vladimír Mlynarovič
Keyword(s):  
Multiple Criteria Decision Making ◽  
Investment Strategy ◽  
Multiple Criteria ◽  
Optimization Approach ◽  
Government Bond ◽  
Government Bonds ◽  
Promethee Ii ◽  
Symmetry Approach ◽  
Investment Opportunities ◽  
Criteria Weights

The aim of this work is to develop a “learning model” which outranks countries according to their confrontation of historical macroeconomic indicators for a given period of time with the spreads at the end of that time and to formulate a forward-looking investment strategy regarding government bonds for the following time period. The mechanism of identifying investment opportunities among government bonds is based on the multiple criteria decision making technique, and we look to the Promethee II method as a symmetry approach to country ordering. The spread is defined as the difference between the yield to maturity of the 10-year government bond of a country and the Germany government bond with the same maturity. In this paper, an optimization approach based on three models is developed to find the weights of importance for macroeconomic characteristics, together with a sensitivity analysis on changes in these characteristics. The method was applied to 17 European countries characterized by 16 macroeconomic characteristics. The originality of this paper lies in the two-stage approach to the investment strategy construction based on criteria weights optimization with stability intervals for their values.

scholarly journals Exploring Connexion between Sovereign Wealth Funds and Islamic Finance in the Gulf Countries

2018 ◽  
Vol 10 (5) ◽  
pp. 75
Author(s):  
Ashraf Mishrif ◽  
Erhan Akkas
Keyword(s):  
Decision Making ◽  
Investment Strategy ◽  
Gulf Cooperation Council ◽  
Islamic Finance ◽  
Sovereign Wealth Funds ◽  
Gulf Countries ◽  
Investment Opportunities ◽  
The Relationship ◽  
Simultaneous Growth

This study explores the relationship between the development of sovereign wealth funds (SWFs) and Islamic finance in the Gulf Cooperation Council countries. It argues that despite a simultaneous growth in both industries in the petrodollar era, there has been insignificant degree of complementary between them and the size of SWFs investments in Islamic finance is limited. Analysis attributes such divergence to the peculiarity of SWFs’ objectives, decision-making and investment strategy. Islamic finance has yet to provide low-risk long-term investment opportunities that are more attractive to SWFs than that available in the conventional market, hence bringing the industry under the funds’ radar. The study concludes by arguing that despite such limitation, both SWFs and Islamic finance have contributed to economic development and have the potential to overcome such lack of conjunction.

An equilibrium analysis of investment opportunities in a regional electrical grid

2016 ◽  
Vol 7 (4) ◽  
pp. 663-698 ◽  
Author(s):  
Alexander S. Belenky ◽  
Dmitry S. Bolkunov
Keyword(s):  
Equilibrium Analysis ◽  
Electrical Grid ◽  
Investment Opportunities

Equilibrium Analysis of Portfolio Insurance

1996 ◽  
Vol 51 (4) ◽  
pp. 1379-1403 ◽  
Author(s):  
SANFORD J. GROSSMAN ◽  
ZHONGQUAN ZHOU
Keyword(s):  
Equilibrium Analysis ◽  
Portfolio Insurance

Study on the investment choice of China's pension market—Based on the analysis of stock investment strategy

2017 ◽  
Vol 2 ◽  
pp. 29
Author(s):  
Hui Jin
Keyword(s):  
Influencing Factors ◽  
Pension Fund ◽  
Choice Theory ◽  
Investment Strategy ◽  
Strategy Use ◽  
Econometric Analysis ◽  
Equity Investment ◽  
Investment Choice ◽  
Stock Investment ◽  
Investment Opportunities

<p class="17" align="justify">This paper studies Chinese pension market investment, the analysis of stock investment holdings based on the strategy of choice, starting from China's pension market investment opportunities, combined with China's pension market investment choice theory, to discuss the pension equity investment ratio influencing factors. Then, this paper will be based on statistical and econometric analysis pension fund stock investment, stock investment holdings of pension in China is put forward specific strategies. I hope this study can provide reference for Chinese citizens to pension strategy use.</p>

scholarly journals Identification of Financial Strategy in Small and Medium‑sized Entrepreneurship

2017 ◽  
Vol 65 (4) ◽  
pp. 1435-1453 ◽  
Author(s):  
Veronika Svatošová
Keyword(s):  
Agricultural Sector ◽  
Corporate Strategy ◽  
Financial Analysis ◽  
Investment Strategy ◽  
Business Practice ◽  
Strategy Development ◽  
Financial Strategy ◽  
Conservative Strategy ◽  
Research Activities ◽  
Further Development

This paper deals with the importance of financial strategy development of small and medium‑sized enterprises (SMEs) in the winery industry. The main objective of the paper is to identify the current financial strategy of small and medium‑sized enterprises and afterwards to propose changes that lead to new financial strategy. The research methods are the selected methods of financial analysis, collecting data about the research sample of SMEs, modelling the financial strategy with the help of Vensim program and further simulation of this model in business practice. The model derives from the previous research activities. The purpose of this paper is also to verify the usage of theoretically created model in small and medium‑sized entrepreneurship and find the optimal financial strategy in the area examined. The results of this paper show the selected area of small and medium‑sized entrepreneurship uses mainly the financial strategy of maximum liquidity (conservative strategy) in all observed years (2010–2014). This means the selected research sample of SMEs do not use progressive investment strategy with a further development. This result could highlight that SMEs in agricultural sector do not meet the financial strategy with corporate strategy focused on other business development. It is recommended to change this strategy into balancedfinancial strategy focused on higher profitability that could be used for the other expansion and development of the company.

scholarly journals Optimal Portfolio Insurance under Nonlinear Transaction Costs

2020 ◽  
Vol 12 (2) ◽  
pp. 117-124
Author(s):  
Vasilios N. Katsikis ◽  
Spyridon D. Mourtas
Keyword(s):  
Nonlinear Programming ◽  
Transaction Costs ◽  
Real World ◽  
Numerical Experiments ◽  
Minimum Cost ◽  
Investment Strategy ◽  
Data Sets ◽  
Portfolio Insurance ◽  
Real World Data ◽  
Computation Algorithms

The minimization of the costs related to portfolio insurance is a very important investment strategy. In this article, by adding the transaction costs to the classical minimum cost portfolio insurance (MCPI) problem, we define and study the MCPI under transaction costs (MCPITC) problem as a nonlinear programming (NLP) problem. In this way, the MCPI problem becomes more realistic. Since such NLP problems are commonly solved by heuristics, we use the Beetle Antennae Search (BAS) algorithm to provide a solution to the MCPITC problem. Numerical experiments and computer simulations in real-world data sets confirm that our approach is an excellent alternative to other evolutionary computation algorithms.

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