Results
author = "Sentana, Enrique "
Mean-variance portfolio allocation with a value at risk constraint
Author(s) :
Sentana, Enrique
Description :
In this paper, I first provide a unifying approach to Mean-Variance analysis and Value at Risk, which highlights both their similarities and differences. Then I use it to explain how fund managers can take investment decisions within the well-known Mean-Variance allocation framework that satisfy the...
Repository :
LSE Research Online
Language(s) :
Undetermined
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach
Description :
We propose new spanning tests that assess if the economically meaningful cost and mean representing portfolios are shared by the initial and additional assets. We show that our proposed tests are asymptotically equivalent to existing ones under local alternatives, and analyse their asymptotic relati...
Repository :
e-Repositori UPF
Language(s) :
Catalan
Duality in Mean-Variance Frontiers with Conditioning Information
Description :
Portfolio and stochastic discount factor (SDF) frontiers are usually regarded as dual objects, and researchers sometimes use one to answer questions about the other. However, the introduction of conditioning information and active portfolio strategies alters this relationship. For instance, the unco...
Repository :
e-Repositori UPF
Language(s) :
Catalan
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models
Description :
Two main approaches are commonly used to empirically evaluate linear factor pricing models: regression and SDF methods, with centred and uncentred versions of the latter. We show that unlike standard two-step or iterated GMM procedures, single-step estimators such as continuously updated GMM yield n...
Repository :
e-Repositori UPF
Language(s) :
Catalan
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
Description :
We show that the distribution of any portfolio whose components jointly follow a location-scale mixture of normals can be characterised solely by its mean, variance and skewness. Under this distributional assumption, we derive the mean-variance-skewness frontier in closed form, and show that it can ...
Repository :
Social Science Open Access Repository
Language(s) :
English
A comparison of mean-variance efficiency tests
Description :
We analyse the asymptotic properties of mean-variance efficiency tests based on generalised methods of moments, and parametric and semiparametric likelihood procedures that assume elliptical innovations. We study the trade-off between efficiency and robustness, and prove that the parametric estimato...
Repository :
Social Science Open Access Repository
Language(s) :
English
Likelihood-based estimation of latent generalised ARCH structures.
Description :
GARCH models are commonly used as latent processes in econometrics, financial economics and macroeconomics. Yet no exact likelihood analysis of these models has been provided so far. In this paper we outline the issues and suggest a Markov chain Monte Carlo algorithm which allows the calculation of ...
Repository :
Oxford University Research Archive (ORA)
Language(s) :
Undetermined
Likelihood-based estimation of latent generalised ARCH structures
Description :
GARCH models are commonly used as latent processes in econometrics, financial economics, and macroeconomics. Yet no exact likelihood analysis of these models has been provided so far. In this paper we outline the issues and suggest a Markov chain Monte Carlo algorithm which allows the calculation of...
Repository :
Oxford University Research Archive (ORA)
Language(s) :
English
Likelihood-based estimation of latent generalised ARCH structures.
Description :
GARCH models are commonly used as latent processes in econometrics, financial economics and macroeconomics. Yet no exact likelihood analysis of these models has been provided so far. In this paper we outline the issues and suggest a Markov chain Monte Carlo algorithm which allows the calculation of ...
Repository :
Oxford University Research Archive (ORA)
Language(s) :
Undetermined
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
Description :
Postprint
,
Postprint
,
begutachtet
,
reviewed
Repository :
Social Science Open Access Repository
Language(s) :
English