Home  About us  Contact
 

Portfolio Allocation (portfolio + allocation)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting83%

Selected Abstracts

Optimal Portfolio Allocation under Higher Moments

EUROPEAN FINANCIAL MANAGEMENT, Issue 1 2006
Eric Jondeau
C22; C51; G12 Abstract We evaluate how departure from normality may affect the allocation of assets. A Taylor series expansion of the expected utility allows to focus on certain moments and to compute the optimal portfolio allocation numerically. A decisive advantage of this approach is that it remains operational even for a large number of assets. While the mean-variance criterion provides a good approximation of the expected utility maximisation under moderate non-normality, it may be ineffective under large departure from normality. In such cases, the three-moment or four-moment optimisation strategies may provide a good approximation of the expected utility. [source]

Divisor Methods for Sequential Portfolio Allocation in Multi-Party Executive Bodies: Evidence from Northern Ireland and Denmark

AMERICAN JOURNAL OF POLITICAL SCIENCE, Issue 1 2005
Brendan O'Leary
Some proportional representation (PR) rules can also be used to specify the sequence in which each party in a parliament or each member in a multiparty governing coalition is given its choice about (unique) desired resources, e.g., "indivisible goods" such as cabinet ministries or executive positions, thus providing an algorithmic method for determining "fair" allocations. Divisor rule sequencing using the d'Hondt method was recently used to determine the ten cabinet positions in the Northern Ireland Executive Committee created under the 1998 Belfast ("Good Friday") Agreement; and such sequential allocation procedures have been used in some Danish municipal governments, and for determination of committee chairs in the European parliament. Here we examine in some detail the procedures used in Northern Ireland and Denmark, with a focus on special features such as the option in Denmark to form post-election alliances. [source]

The Use of Archimedean Copulas to Model Portfolio Allocations

MATHEMATICAL FINANCE, Issue 2 2002
David A. Hennessy
A copula is a means of generating an n -variate distribution function from an arbitrary set of n univariate distributions. For the class of portfolio allocators that are risk averse, we use the copula approach to identify a large set of n -variate asset return distributions such that the relative magnitudes of portfolio shares can be ordered according to the reversed hazard rate ordering of the n underlying univariate distributions. We also establish conditions under which first- and second-degree dominating shifts in one of the n underlying univariate distributions increase allocation to that asset. Our findings exploit separability properties possessed by the Archimedean family of copulas. [source]

Optimal Portfolio Allocation under Higher Moments

EUROPEAN FINANCIAL MANAGEMENT, Issue 1 2006
Eric Jondeau
C22; C51; G12 Abstract We evaluate how departure from normality may affect the allocation of assets. A Taylor series expansion of the expected utility allows to focus on certain moments and to compute the optimal portfolio allocation numerically. A decisive advantage of this approach is that it remains operational even for a large number of assets. While the mean-variance criterion provides a good approximation of the expected utility maximisation under moderate non-normality, it may be ineffective under large departure from normality. In such cases, the three-moment or four-moment optimisation strategies may provide a good approximation of the expected utility. [source]

Portfolio Choice in the Presence of Background Risk

THE ECONOMIC JOURNAL, Issue 460 2000
John Heaton
In this paper, we focus on how the presence of background risks , from sources such as labour and entrepreneurial income , influences portfolio allocations. This interaction is explored in a theoretical model that is calibrated using cross-sectional data from a variety of sources. The model is shown to be consistent with some but not all aspects of cross-sectional observations of portfolio holdings. The paper also provides a survey of the extensive theoretical and empirical literature on portfolio choice. [source]

Fund Manager Use of Public Information: New Evidence on Managerial Skills

THE JOURNAL OF FINANCE, Issue 2 2007
MARCIN KACPERCZYK
ABSTRACT We show theoretically that the responsiveness of a fund manager's portfolio allocations to changes in public information decreases in the manager's skill. We go on to estimate this sensitivity (RPI) as the R2 of the regression of changes in a manager's portfolio holdings on changes in public information using a panel of U.S. equity funds. Consistent with RPI containing information related to managerial skills, we find a strong inverse relationship between RPI and various existing measures of performance, and between RPI and fund flows. We also document that both fund- and manager-specific attributes affect RPI. [source]