The Ex Post Performance of Four Portfolio Selection Algorithms

This paper explores the ex post performance of four widely cited (and sometimes applied) normative portfolio selection models. Each is supposed to solve the same portfolio selection problem relative to the same mean-variance efficiency criteria. It has been shown elsewhere, and this paper confirms, that the models result in vastly different ex ante stock selection strategies. However, the acid test of normative theory is ex post performance relative to a set of efficiency criteria or some other standard. The empirical results reported here show that, with one exception, the ex post performance of the models is consistent with the same mean-variance efficiency criteria, and, over a predictable range of outcomes, consistently outperform the index portfolio based on Standard & Poor's 500 Stock Index.     

行业组合视角下的银行信贷优化管理——基于中国商业银行的优化模型设计与实证分析

本文在经济下行周期的背景下,从行业组合的视角探讨商业银行如何根据国家政策及自身战略积极布局信贷资产,从被动调控向主动管理转变,实现收益、风险及资本的优化.本文提出两个优化模型——基于最优增长率的均值方差基准模型和专家判断的主动配置模型,通过加入风险相关性、风险容忍度、经济资本等约束,为银行在不同风险偏好下积极配置资产提...     

Differences in Perstistence in Aggregated and Disaggregated UK Stock Returns: A Reconciliation

Studies of the persistence in the returns series of UK stocks, using inter alia variance ratios, have documented clear differences between the relatively low levels of persistence in individual security returns and the relatively high levels of persistence in the returns of portfolios composed of these same securities. In this paper, I reconcile this contrast by showing that portfolio return variance ratios should not be expected to reflect (own) persistence levels in the component security returns, but instead should reflect a 'cross-persistence' between the securities. I calculate synthetic portfolio variance ratios from measures of security return 'cross-persistence' and find that they replicate closely the observed portfolio return variance ratios, which provides empirical support for the theoretical results.     

An evaluation of contingent immunization

This paper tests the effectiveness of contingent immunization, a stop loss strategy that allows portfolio managers to take advantage of their ability to forecast interest rate movements as long as their forecasts are successful, but switches to a pure immunization strategy should the stop loss limit be encountered. This study uses actual daily transactions in the Spanish Treasury market covering the period 1993–2003 and uses performance measures that accounts for skewness and kurtosis as well as mean variance. The main result of this paper is that contingent immunization provides excellent performance despite its simplicity.     

A Study of Large Institutional Investor Trading Behavior Around Leveraged Buyouts

This study analyzes a segment of large institutional investors by focusing on their trading behavior around leveraged buyouts (LBO) during 1984–1992. Over 1,000 LBO-related transactions from the portfolios of the fifty largest life insurance companies in the U.S. form the data sample. The results indicate that large LBOs dominate the portfolios in both number and size of transactions. The average purchase occurs about four months prior to the initial LBO restructuring announcement, and the average disposal occurs about three-quarters into the life of the LBO event. About 25% of the portfolio is liquidated prior to the initial announcement, and only 4% of the purchases result after the initial announcement. Less than 6% of the transactions involve LBOs that are ultimately canceled. Finally, the sample of large institutional investors demonstrate an ability to predict the maximum share price to within 93%, and they earn a premium of about 15% over randomly-selected LBO-related portfolios. Overall, the results indicate that these large institutional investors demonstrated a superior ability in timing their LBO-related transactions.     

国外税务稽查经验及借鉴

当今,世界各国税务机关普遍重视稽查工作,一方面将财力、物力和人力向稽查部门倾斜,并借助科技力量和法律武器为税务稽查保驾护航;另一方面,加强税务稽查案源信息管理,以提高稽查工作的质量和效率。本文借鉴国外先进经验,提出了未来我国税务稽查应当在组织、流程以及法律保障等方面进行改进,以减少税收流失,提高全民纳税意识。     

Interest Rate Risk of European Financial Corporations

We investigate the interest rate exposure of large European financial corporations' equity returns. For the period from January 1982 to March 1995 we estimate multifactor index models to examine the sensitivity of equity returns to market index returns and domestic as well as global interest rate movements. In addition, we specify an APT‐model to test whether an exposure to interest rate movements is rewarded in the cross‐section of expected returns. In the four European markets both domestic and global interest rate shifts constitute driving forces of stock returns beyond the influence of the domestic market indices. However, the exposure to interest rate movements does not seem to be rewarded in the same fashion among the markets.     

我国证券投资基金的积极资产组合管理能力研究

本文以19支开放式基金和23支封闭式基金为研究样本,通过改进PCM模型,设计适用于非有效市场或弱有效市场的指标S,来考察我国证券投资基金在2005年1月1日至2007年6月30日这段研究区间内的积极资产组合管理能力,并对开放式基金和封闭式基金的积极资产组合管理能力进行比较分析.研究发现,开放式基金和封闭式基金均有较强的积极资产组合管理能力;封闭式基金的积极资产组合管理能力整体要高于开放式基金,特别是在上涨和震荡行情中;同时,市场走势的波动也会对基金的积极资产组合管理能力产生一定的影响.     

Who benefits more from international diversification?

This paper investigates the relative magnitude of the international diversification benefits for the domestic investors in various countries. The constraints of short-sales, over-weighting investments, and investing region are considered. The empirical results suggest that local investors in the less developed countries, particularly in East Asia and Latin America, comparatively benefit more from both regional and global diversification. This finding holds even though the international market has become more integrated so that the diversification benefits have decreased over the past two decades. The results are useful for asset management professionals to determine target markets to promote the business of national/international funds.     

A multicriteria model for portfolio management

The paper presents a new model to support the selection of a portfolio of stocks based on the results of the fieldwork undertaken with fund managers and using direct rating, MACBETH and optimisation techniques. The model consists of defining a benchmark portfolio (in this case, the Dow Jones Eurostoxx50) and scoring its different stocks according to several expected return criteria. Based on this multicriteria value analysis, a procedure is proposed to suggest adjustments to the proportions of the stocks in the portfolio. Finally, the risk of this modified portfolio is taken into consideration in an optimization module that includes constraints concerning the limits of variation for the proportion of each stock.     

Reversing the Question: On What Does the Turnover of Mutual Funds Depend? Evidence from Equity Mutual Funds in Chile

Abstract:

The purpose of this research is to study the factors that influence portfolio turnover in equity mutual funds in Chile. The main result of this research indicates that turnover is related to a combination of variables associated with efficiency, and with behavioral and agency problem hypotheses. In addition, negative effects of turnover are observed on the returns from the funds; positive effects are observed on portfolio liquidity. This study should be of interest to policymakers who regulate and monitor the delegated portfolio management industry in developing countries, as well as individual and institutionalinvestors concerned about the efficiency and performance of their investments.     

Realised higher moments: theory and practice

This paper examines the incorporation of higher moments in portfolio selection problems utilising high-frequency data. Our approach combines innovations from the realised volatility literature with a portfolio selection methodology utilising higher moments. We provide an empirical study of the measurement of higher moments from tick by tick data and implement the model for a selection of stocks from the DOW 30 over the time period 2005–2011. We demonstrate a novel estimator for moments and co-moments in the presence of microstructure noise.