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Các bài báo tiêu biểu
Correlations and business cycles of credit risk: Evidence from bankruptcies in Germany
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An application of the Black–Litterman model with EGARCH-M-derived views for international portfolio management
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Three aspects of the Swiss term structure: an empirical survey
Tập 21 - Trang 221-240 - 2007
The term structure is an important transmitter of, and indicator for, monetary policy. This paper studies the Swiss term structure using monthly data from 1989 to 2005. We study the impact of the new monetary policy strategy that the Swiss National Bank (SNB) adopted at the beginning of 2000 on three aspects of the term structure. First, we test the expectations hypothesis and find it confirmed at......
The Effect of Market Regimes on Style Allocation
Tập 20 - Trang 309-337 - 2006
We analyse time-varying risk premia and the implications for portfolio choice. Using Markov Chain Monte Carlo (MCMC) methods, we estimate a multivariate regime-switching model for the Carhart (1997) four-factor model. We find two clearly separable regimes with different mean returns, volatilities, and correlations. In the High-Variance Regime, only value stocks deliver a good performance, whereas ......
The Black–Litterman model: a consistent estimation of the parameter tau
Tập 27 - Trang 217-251 - 2013
In addition to giving a detailed description and explanation of the Black–Litterman (BL) model, this paper deals with estimation of the parameter tau. This parameter is the most mysterious one in the BL model, as the literature does not provide specific guidance on its calibration. Specifically, I develop an estimation procedure that yields a suitable and consistent estimate of tau, which results ......
Robert D. Arnott, Jason C. Hsu, John M. West: The Fundamental Index—A Better Way to Invest
Tập 22 - Trang 281-283 - 2008