Zobrazeno 1 - 10
of 131
pro vyhledávání: '"Mark, Kritzman"'
Autor:
Mark, Kritzman1 kritzman@mit.edu, Cel, Kulasekaran2 cel@windhamcapital.com, David, Turkington3 dturkington@statestreet.com
Publikováno v:
Journal of Portfolio Management. Nov2023, Vol. 50 Issue 1, p8-18. 11p.
Publikováno v:
The Journal of Financial Data Science. 5:27-46
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8da56e0ceed07cda4291993cbcfd55fc
https://doi.org/10.3905/jfds.2022.1.110
https://doi.org/10.3905/jfds.2022.1.110
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3279bddc7ce29d6f59e719780b37c054
https://doi.org/10.2139/ssrn.4450938
https://doi.org/10.2139/ssrn.4450938
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b508a0ea031df3ee6b84ddeb4d4f759b
https://doi.org/10.2139/ssrn.4422674
https://doi.org/10.2139/ssrn.4422674
Autor:
David Turkington, Mark Kritzman
Publikováno v:
The Journal of Portfolio Management. 48:142-152
Investors intuitively view future possibilities as a combination of historical outcomes, shocks that occur suddenly, and drifts that unfold gradually over several years. The authors show how to build portfolios based on such a view of the future. The
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7b7c811304ed4652fd7b045160266161
https://doi.org/10.3905/jpm.2021.1.321
https://doi.org/10.3905/jpm.2021.1.321
Publikováno v:
The Journal of Portfolio Management. 47:124-137
That investors should diversify their portfolios is a core principle of modern finance. Yet there are some periods in which diversification is undesirable. When the portfolio’s main growth engine performs well, investors prefer the opposite of dive
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c03ef770bc2a0b0d90150075f43c1066
https://doi.org/10.3905/jpm.2021.1.273
https://doi.org/10.3905/jpm.2021.1.273
Publikováno v:
The Journal of Alternative Investments. 23:122-130
Investors have long debated what fraction of their portfolios’ currency exposure they should hedge, if any. The answers cover a broad range, often with dubious rationale. Yet most informed investors agree that the solution should use mean-variance
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1195218a01ca1fa5095691cde5dc5d49
https://doi.org/10.3905/jai.2021.1.126
https://doi.org/10.3905/jai.2021.1.126
Publikováno v:
Financial Analysts Journal. 77:90-100
Sophisticated investors rely on scenario analysis to select portfolios. We propose a new approach to scenario analysis that enables investors to consider sequential outcomes. We define scenarios no...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::df62f924c9b90d02864b552619797eab
https://doi.org/10.1080/0015198x.2020.1841539
https://doi.org/10.1080/0015198x.2020.1841539
Publikováno v:
The Journal of Portfolio Management. 47:67-76
Investors rely on the stock-bond correlation for a variety of tasks, such as forming optimal portfolios, designing hedging strategies, and assessing risk. Most investors estimate the stock–bond correlation simply by extrapolating the historical cor
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d0ddf69124e82cf4bb40e2b0e98a7c16
https://doi.org/10.3905/jpm.2020.1.195
https://doi.org/10.3905/jpm.2020.1.195
Publikováno v:
The Journal of Alternative Investments. 23:21-31
Investors have traditionally relied on mean–variance analysis to determine a portfolio’s optimal asset mix, but they have struggled to incorporate private equity into this framework because they do not know how to estimate its risk. The observed
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f24e164ba3e721de45f1f5e13d4da2e5
https://doi.org/10.3905/jai.2020.1.117
https://doi.org/10.3905/jai.2020.1.117