Pub Date : 2022-01-01Epub Date: 2021-03-31DOI: 10.1007/s11408-021-00387-3
Francesco Bianchi, Lorenzo Mercuri, Edit Rroji
In this paper we consider a portfolio selection problem defined for irregularly spaced observations. We use the Independent Component Analysis for the identification of the dependence structure and continuous-time GARCH models for the marginals. We discuss both estimation and simulation of market prices in a context where the time grid of price quotations differs across assets. We present an empirical analysis of the proposed approach using two high-frequency datasets that provides better out-of-sample results than competing portfolio strategies except for the case of severe market conditions with frequent rebalancements.
{"title":"Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach.","authors":"Francesco Bianchi, Lorenzo Mercuri, Edit Rroji","doi":"10.1007/s11408-021-00387-3","DOIUrl":"https://doi.org/10.1007/s11408-021-00387-3","url":null,"abstract":"<p><p>In this paper we consider a portfolio selection problem defined for irregularly spaced observations. We use the Independent Component Analysis for the identification of the dependence structure and continuous-time GARCH models for the marginals. We discuss both estimation and simulation of market prices in a context where the time grid of price quotations differs across assets. We present an empirical analysis of the proposed approach using two high-frequency datasets that provides better out-of-sample results than competing portfolio strategies except for the case of severe market conditions with frequent rebalancements.</p>","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"36 1","pages":"57-85"},"PeriodicalIF":1.9,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11408-021-00387-3","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"39720788","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-12-21DOI: 10.1007/s11408-021-00402-7
Ramona Busch, Helge C. N. Littke, Christoph Memmel, Simon Niederauer
{"title":"German banks’ behavior in the low interest rate environment","authors":"Ramona Busch, Helge C. N. Littke, Christoph Memmel, Simon Niederauer","doi":"10.1007/s11408-021-00402-7","DOIUrl":"https://doi.org/10.1007/s11408-021-00402-7","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"28 1","pages":"267 - 296"},"PeriodicalIF":1.9,"publicationDate":"2021-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78811623","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-08-18DOI: 10.1007/s11408-021-00400-9
Eero J. Pätäri, Timo Leivo, Sheraz Ahmed
{"title":"Can the FSCORE add value to anomaly-based portfolios? A reality check in the German stock market","authors":"Eero J. Pätäri, Timo Leivo, Sheraz Ahmed","doi":"10.1007/s11408-021-00400-9","DOIUrl":"https://doi.org/10.1007/s11408-021-00400-9","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"9 1","pages":"321 - 367"},"PeriodicalIF":1.9,"publicationDate":"2021-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73152202","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-07-19DOI: 10.1007/s11408-021-00399-z
Stylianos Perrakis
{"title":"From innovation to obfuscation: continuous time finance fifty years later","authors":"Stylianos Perrakis","doi":"10.1007/s11408-021-00399-z","DOIUrl":"https://doi.org/10.1007/s11408-021-00399-z","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"26 1","pages":"369 - 401"},"PeriodicalIF":1.9,"publicationDate":"2021-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88506352","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-06-29DOI: 10.1007/s11408-021-00397-1
J. Fletcher
{"title":"Exploring the diversification benefits of US international equity closed-end funds","authors":"J. Fletcher","doi":"10.1007/s11408-021-00397-1","DOIUrl":"https://doi.org/10.1007/s11408-021-00397-1","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"5 1","pages":"297 - 320"},"PeriodicalIF":1.9,"publicationDate":"2021-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72999893","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-06-04DOI: 10.1007/s11408-021-00394-4
Stéphanie Heck
{"title":"Corporate bond yields and returns: a survey","authors":"Stéphanie Heck","doi":"10.1007/s11408-021-00394-4","DOIUrl":"https://doi.org/10.1007/s11408-021-00394-4","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"66 1","pages":"179 - 201"},"PeriodicalIF":1.9,"publicationDate":"2021-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81101076","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-06-01DOI: 10.1007/s11408-023-00429-y
Thomas Paul, T. Walther
{"title":"FMPM Best Paper Award 2021","authors":"Thomas Paul, T. Walther","doi":"10.1007/s11408-023-00429-y","DOIUrl":"https://doi.org/10.1007/s11408-023-00429-y","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"29 1","pages":"265 - 266"},"PeriodicalIF":1.9,"publicationDate":"2021-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87245039","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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