Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Mansi Singhal"'
Publikováno v:
2022 IEEE 19th India Council International Conference (INDICON).
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::097e57370bd5cbc9a67b089694470920
https://doi.org/10.1109/indicon56171.2022.10039809
https://doi.org/10.1109/indicon56171.2022.10039809
Publikováno v:
SSRN Electronic Journal.
Here we present a novel approach to how the Chief Investment Office (CIO) can select investment strategies to allocate to and to decide the percentage allocation to them. The method that we outline here is a continuation of our previous research on r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4566dc12a316efe4a1ca27396b14a7ac
https://doi.org/10.2139/ssrn.3334021
https://doi.org/10.2139/ssrn.3334021
Publikováno v:
SSRN Electronic Journal.
In this work, we have found a risk model that improves the performance of Risk Targeting. Risk Targeting in portfolio construction is implemented to improve capital utilization in growing markets and systematically step away from risk scenarios. Howe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::409b3be163c4c7d91f1680f07fd0f8a7
https://doi.org/10.2139/ssrn.3376816
https://doi.org/10.2139/ssrn.3376816
Publikováno v:
SSRN Electronic Journal.
Fixed income investors favor higher yields with lower risk. Our objective in this paper is to outline an active fixed income strategy that maximizes yield and is protected against major risk factors affecting fixed income securities. In particular, w
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::17b441883a1201e168ad74d0f7002a0e
https://doi.org/10.2139/ssrn.3326444
https://doi.org/10.2139/ssrn.3326444
Publikováno v:
SSRN Electronic Journal.
We present a portfolio construction methodology for futures strategies that incorporates active trading and also borrows salient features from the risk-parity methodology. We document the evolution of expected risk and return based portfolio construc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d6cba06260622bcf69ac2b3593fb7ef1
https://doi.org/10.2139/ssrn.3376062
https://doi.org/10.2139/ssrn.3376062
Publikováno v:
SSRN Electronic Journal.
In this paper, we show empirically that Active Risk Budgeting is a superior portfolio construction methodology to the tangency portfolio method postulated by Mean Variance Optimization. We compare the performance of Active Risk Budgeting and Tangency
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::730e7ed2db23e9f7740506e8e628e0a5
https://doi.org/10.2139/ssrn.3376067
https://doi.org/10.2139/ssrn.3376067
Publikováno v:
SSRN Electronic Journal.
We present effective momentum strategies over the liquid equity futures market in India. We evaluate and determine the persistence of the returns at various look-backs ranging from quarterly and weekly to more granular look-backs. We look at a univer
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c9e07bfe193989d732fce743c7991d0e
https://doi.org/10.2139/ssrn.3345280
https://doi.org/10.2139/ssrn.3345280