Risk-based asset allocation strategies are mainly used to diversify nominal asset weights. In this paper, we discuss the diversification of risk factors. The analysis is based on the idea of Partovi and Caputo (2004), who use principal component analysis to transform a portfolio into a set of uncorrelated principal portfolios. Risk-based asset allocation strategies can be applied to these uncor...

Many decisions are involved in managing the vehicle life cycle. These include product portfolio planning (which models to launch at which times), plant assignment (which plants to use to produce each vehicle) and production allocation (how much of each vehicle to produce in each plant). Since these decisions are complex and made at different points in time they are typically decoupled in practi...

The widely used mean-variance criteria is actually not the optimal solution for asset allocation as the joint distribution of asset returns are distributed in asymmetric ways rather than in the assumed normal distribution. It is a computationally challenging task to model the asymmetries and skewness of joint distributions of returns in high dimensional space due to their own complicated struct...

Portfolio allocation is an important topic in financial data analysis. In this article, based on the mean-variance optimization principle, we propose a synthetic regression model for construction of portfolio allocation, and easy to implement approach generate sample model. Compared with existing literature proposed method generating provides more accurate approximation response variable when n...

Daily price limits are adopted by many securities exchanges in countries such as the USA, Canada, Japan and various other countries in Europe and Asia, in order to increase the stability of the financial market. These limits confine the price of the financial asset during all trading stages of any trading day to a range, usually determined based on the previous day’s closing price. In this pape...

Tests of the CAPM, the prototype model of equilibrium in financial markets, are usually based on returns computed from end-of-month closing prices. It is reasonable to doubt that these prices always reflect markets that are at equilibrium, thus raising the question whether and how inference is biased. Rather than exploring this issue using one of the many theoretical (but empirically unverified...

Although most shareholders hold diversi…ed portfolios, the corporate …nance literature postulates that shareholders maximise …rm value, while managers sometimes do not. We argue to the contrary that undiversi…ed managers may care more about …rm-level risk and return than about the value of their shareholders’diversi…ed portfolio. These two objectives may di¤er in presence of product-market inte...

We provide a framework in which we link the valuation and asset allocation policies of defined benefits plans with the lifetime marginal productivity schedule of the worker and the pension plan formula. In turn, we examine the retirement policies that are implied by the primitives of the model and the value of pension obligations. Our model provides an explicit valuation formula for a stylized ...