scholarly journals A Comparison Of Mean-Variance And Mean-Semivariance Optimisation On The JSE

2014 ◽  
Vol 30 (6) ◽  
pp. 1587 ◽  
Author(s):  
Jiten Vasant ◽  
Laurent Irgolic ◽  
Ryan Kruger ◽  
Kanshukan Rajaratnam
Keyword(s):  
Financial Crisis ◽  
Optimal Portfolio ◽  
Fixed Income ◽  
Optimal Portfolios ◽  
Crisis Period ◽  
Recent Financial Crisis ◽  
Mean Variance

<p>This study investigates the effectiveness of semivariance versus mean-variance optimisation on a risk-adjusted basis on the JSE. We compare semivariance and mean-variance optimisation prior to, during and after the recent financial crisis period. Additionally, we investigate the inclusion of a fixed-income asset in the optimal portfolio. The results suggest that semivariance optimisation on the JSE in a pure equity case produces lower absolute returns, yet superior risk-adjusted returns. Further investigation suggests that semivariance metrics are effective within a certain range of portfolio sizes and diminishes in benefit once portfolios become larger. A fixed income asset scenario tested under the hypothesis of semivariance optimisation favoured greater bond weightings in optimal portfolios.<em> </em><strong></strong></p>

The Impact of Financial Crises on the Asset Allocation: Classical Theory Versus Behavioral Theory

2019 ◽  
Vol 32 (2) ◽  
pp. 218-236
Author(s):  
Amen Aissi Harzallah ◽  
Mouna Boujelbene Abbes
Keyword(s):  
Financial Crisis ◽  
Risk Aversion ◽  
Asset Allocation ◽  
Global Financial Crisis ◽  
Optimal Portfolio ◽  
Optimal Portfolios ◽  
The Mean ◽  
Degree Of Risk ◽  
The Impact ◽  
Mean Variance

The aim of this article is to compare the portfolio optimization generated by the behavioral portfolio theory (BPT) and the mean variance theory (MVT) by investigating the impact of the global financial crisis on the asset allocation. We use data from the Canadian Stock Exchange over the 2002–2015 period. By comparing both approaches, we show that for any level of aspiration and admissible failure, the BPT optimal portfolio will always contain a part of the mean–variance frontier. Thus, in the case of higher degree of risk aversion induced by typical BPT investors, the security set is located on the upper right of the Markowitz frontier. However, even if the optimal portfolios of MVT and BPT may coincide, MVT investors associated with an extremely low degree of risk aversion will not systematically choose BPT optimal portfolios. Our results also indicate the period of financial crisis generate huge losses in MVT portfolio values that implies a lower expected return and a higher level of risk. Furthermore, we point out the absence of the BPT optimal portfolio when potential losses are higher during the 2008 global financial crisis. JEL: G11, G17, G40

scholarly journals Portfolio optimization under mean-CVaR simulation with copulas on the Vietnamese stock exchange

2021 ◽  
Vol 18 (2) ◽  
pp. 273-286
Author(s):  
Le Tuan Anh ◽  
Dao Thi Thanh Binh
Keyword(s):  
Stock Market ◽  
Portfolio Optimization ◽  
Stock Exchange ◽  
Optimal Portfolio ◽  
Gaussian Copula ◽  
Optimal Portfolios ◽  
Empirical Results ◽  
Portfolio Strategy ◽  
T Copula ◽  
Mean Variance

This paper studies how to construct and compare various optimal portfolio frameworks for investors in the context of the Vietnamese stock market. The aim of the study is to help investors to find solutions for constructing an optimal portfolio strategy using modern investment frameworks in the Vietnamese stock market. The study contains a census of the top 43 companies listed on the Ho Chi Minh stock exchange (HOSE) over the ten-year period from July 2010 to January 2021. Optimal portfolios are constructed using Mean-Variance Framework, Mean-CVaR Framework under different copula simulations. Two-thirds of the data from 26/03/2014 to 27/1/2021 consists of the data of Vietnamese stocks during the COVID-19 recession, which caused depression globally; however, the results obtained during this period still provide a consistent outcome with the results for other periods. Furthermore, by randomly attempting different stocks in the research sample, the results also perform the same outcome as previous analyses. At about the same CvaR level of about 2.1%, for example, the Gaussian copula portfolio has daily Mean Return of 0.121%, the t copula portfolio has 0.12% Mean Return, while Mean-CvaR with the Raw Return portfolio has a lower Return at 0.103%, and the last portfolio of Mean-Variance with Raw Return has 0.102% Mean Return. Empirical results for all 10 portfolio levels showed that CVaR copula simulations significantly outperform the historical Mean-CVaR framework and Mean-Variance framework in the context of the Vietnamese stock exchange.

scholarly journals On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing

2015 ◽  
Vol 19 (5) ◽  
Author(s):  
Georgios Bampinas ◽  
Theodore Panagiotidis
Keyword(s):  
Financial Crisis ◽  
Rejection Rate ◽  
Causality Analysis ◽  
Crisis Period ◽  
Spot Prices ◽  
Before And After ◽  
Short Run ◽  
Causality Relationship ◽  
Recent Financial Crisis ◽  
The Relationship

AbstractWe examine the causal relationship between crude oil and gold spot prices before and after the recent financial crisis. In the pre-crisis period, causality is linear and unidirectional, running from oil to gold. In the post-crisis period, a bidirectional nonlinear causality relationship emerges. Volatility spillover transpires as the source of nonlinearity during this period. The time path of the causal linkages both for the returns and the levels (cointegration) was assessed via dynamic bootstrap causality analysis. We find that the causal linkage from gold to oil is time dependent and that the non-Granger causality null hypothesis rejection rate increased considerably in the post-financial crisis period. The probability of gold Granger causing oil in the short-run increases by more than 30% during the recent financial and euro crisis.

scholarly journals The Relationship Between Corporate Tax Rate and Economic Growth During the Global Financial Crisis: Evidence from a Panel VAR

2019 ◽  
Vol 8 (2) ◽  
pp. 189-202
Author(s):  
Gamze Öz Yalaman
Keyword(s):  
Economic Growth ◽  
Financial Crisis ◽  
Global Financial Crisis ◽  
Panel Var ◽  
Corporate Tax ◽  
Causality Test ◽  
Tax Rate ◽  
Crisis Period ◽  
Dynamic Relationship ◽  
Recent Financial Crisis

This paper compares dynamic relationship between economic growth and corporate tax rate during the recent financial crisis and the non–crisis period using a panel VAR for 29 OECD countries over the period 1998-2016. The results show that corporate tax rate has a significantly negative effect on economic growth. Moreover, the recent financial crisis has had a significant effect on the endogenous interaction between corporate tax rate and economic growth. According to Granger causality test, there is only one-way causality from corporate tax rate to economic growth during the non-crisis period. Interestingly, there are not any causal relationships between corporate tax rate and economic growth during the crisis period. The results show that the recent crisis has had a significant effect on the endogenous interaction between corporate tax rate and economic growth.

Short-Term Debt and Bank Risk

2018 ◽  
Vol 53 (2) ◽  
pp. 815-835 ◽  
Author(s):  
Brian Du ◽  
Darius Palia
Keyword(s):  
Financial Crisis ◽  
Capital Markets ◽  
Negative Relationship ◽  
Bank Risk ◽  
Short Term ◽  
Large Sample ◽  
Crisis Period ◽  
Extant Literature ◽  
Recent Financial Crisis ◽  
Repurchase Agreements

The extant literature suggests that one of the main causes of the recent financial crisis was the excessive use of short-term debt by banks. Using a large sample of banks, we find that increases in repurchase agreements (repos) were recognized by external capital markets to increase bank risk in the pre-crisis period. In the crisis, we find a negative relationship between repos and risk. We attribute this result to evidence suggesting that “good” banks were able to continue funding their repos, whereas “bad” banks had to significantly decrease their repo funding.

scholarly journals Prioritizing investments in rapid response vaccine technologies for emerging infections: A portfolio decision analysis

PLoS ONE ◽  
2021 ◽  
Vol 16 (2) ◽  
pp. e0246235
Author(s):  
Dimitrios Gouglas ◽  
Kevin Marsh
Keyword(s):  
Decision Analysis ◽  
Stochastic Dominance ◽  
Rapid Response ◽  
Optimal Portfolio ◽  
Decision Makers ◽  
Emerging Infections ◽  
Optimal Portfolios ◽  
Portfolio Decision ◽  
Mean Variance ◽  
Portfolio Decision Analysis

This study reports on the application of a Portfolio Decision Analysis (PDA) to support investment decisions of a non-profit funder of vaccine technology platform development for rapid response to emerging infections. A value framework was constructed via document reviews and stakeholder consultations. Probability of Success (PoS) data was obtained for 16 platform projects through expert assessments and stakeholder portfolio preferences via a Discrete Choice Experiment (DCE). The structure of preferences and the uncertainties in project PoS suggested a non-linear, stochastic value maximization problem. A simulation-optimization algorithm was employed, identifying optimal portfolios under different budget constraints. Stochastic dominance of the optimization solution was tested via mean-variance and mean-Gini statistics, and its robustness via rank probability analysis in a Monte Carlo simulation. Project PoS estimates were low and substantially overlapping. The DCE identified decreasing rates of return to investing in single platform types. Optimal portfolio solutions reflected this non-linearity of platform preferences along an efficiency frontier and diverged from a model simply ranking projects by PoS-to-Cost, despite significant revisions to project PoS estimates during the review process in relation to the conduct of the DCE. Large confidence intervals associated with optimization solutions suggested significant uncertainty in portfolio valuations. Mean-variance and Mean-Gini tests suggested optimal portfolios with higher expected values were also accompanied by higher risks of not achieving those values despite stochastic dominance of the optimal portfolio solution under the decision maker’s budget constraint. This portfolio was also the highest ranked portfolio in the simulation; though having only a 54% probability of being preferred to the second-ranked portfolio. The analysis illustrates how optimization modelling can help health R&D decision makers identify optimal portfolios in the face of significant decision uncertainty involving portfolio trade-offs. However, in light of such extreme uncertainty, further due diligence and ongoing updating of performance is needed on highly risky projects as well as data on decision makers’ portfolio risk attitude before PDA can conclude about optimal and robust solutions.

Are Derivatives Implicated in the Recent Financial Crisis? Evidence from Banks in Emerging Countries

2017 ◽  
Vol 20 (01) ◽  
pp. 1750004
Author(s):  
Mohamed Rochdi Keffala
Keyword(s):  
Financial Crisis ◽  
Emerging Countries ◽  
Crisis Period ◽  
Performance Risk ◽  
Derivative Instruments ◽  
Generalized Methods Of Moments ◽  
The Common ◽  
Recent Financial Crisis ◽  
Methods Of Moments ◽  
The Impact

This work aims to inspect the common debate about the implication of derivative instruments in amplifying the last financial crisis. To reach this goal, the study chooses a sample of banks entirely from emerging countries — over the whole period 2003–2011 — in which we examine the impact of derivatives simultaneously on performance, risk and stability during the ordinary period “the pre-crisis period”, 2003–2006, and the unstable period “the crisis and post crisis period”, 2007–2011. The regressions are estimated by generalized methods of moments (GMM) as developed by Blundell and Bond (1998). The major conclusion reveals that only swaps can be considered as implicated in the intensification of the last financial crisis. Therefore, the rest of derivatives instruments cannot be responsible in the amplification of the recent financial crisis. Indeed, the widespread idea accusing all derivatives to be in part responsible of the intensification of the last financial crisis should be revised.

The Determinants of Merger Withdrawals’ Abnormal Returns in The Australian Market

2015 ◽  
pp. 89-110 ◽  
Author(s):  
Thuy Nguyen Thu ◽  
Giang Dao Thi Thu ◽  
Hoang Truong Huy
Keyword(s):  
Financial Crisis ◽  
Event Study ◽  
Abnormal Returns ◽  
Market Response ◽  
Crisis Period ◽  
Valuation Effects ◽  
Event Study Method ◽  
Private And Public ◽  
Method Of Payment ◽  
The Impact

This paper examines the abnormal returns in merger withdrawals in Australia, especially distinguishing the market response between private and public targets. We also study the determinants of those abnormal returns, including the method of payment and the impact of financial crisis periods. Using the event study method, we document that in the Australian context, the announced withdrawal of mergers involving private targets creates significantly negative valuation effects in comparison with the valuation effects in withdrawal of mergers involving public targets. We also find that a financial crisis period strongly affects abnormal returns of merger withdrawals. However, the method of payment does not have any impact on the abnormal returns.

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