The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution illustrates their usefulness in predicting the downside risk of financial assets in the context of mode...

This paper investigates the returns to forward bias-trading in dynamic multi–currency strategies in order to empirically assess the limits to speculation hypothesis in foreign exchange markets. The results suggest that bias–trading strategies allow for economically significant excess returns, represent attractive diversification devices, and contain low downside risk. Furthermore, enriching car...

Analyzing the beneficial effects of investments in information technology (IT) is an area of research that interests investors and academics. A number of studies have examined whether investments in IT have a positive effect on some measure of earnings or other form of financial return. Results from these studies have been mixed. This paper extends the literature by adopting an investor’s persp...

The boom in food prices over the past 15 years and associated volatility in food prices has prompted relatively wealthy countries dependent on imports to renew their focus on policies to enhance food security. This has in turn prompted many of them to search for opportunities to secure food supply internationally. Coupled with a depressed yields in other assets such as equities and bonds, the f...

Optimization of international securitized real estate portfolios has been a key topic for several decades. However, most previous analysis has focused on regional diversification by applying the traditional mean-variance (MV) framework suggested by Markowitz (1952) even if the limitations of this approach are well-known. Thus, we focus on a more suitable and appealing downside risk (DR) framewo...

This paper presents an optimization approach to analyze the problems of portfolio selection for longterm investments, taking into consideration the specific target replacement ratio for defined-contribution (DC) pension scheme; the purpose is to generate an effective multi-period asset allocation that reaches an amount matching the target liability at retirement date and reduce the downside ris...

In a homogeneous jury, the votes are exchangeable correlated Bernoulli random variables. We derive the bounds on a homogeneous jury’s competence as the minimum and maximum probability of the jury being correct, which arise due to unknown correlations among the votes. The lower bound delineates the downside risk associated with entrusting decisions to the jury. In large and not-too-competent jur...

Portfolio optimization under downside risk while preserving the upside is of crucial importance to asset managers. In the Black-Scholes setting, we consider one such particular measure given by the notion of capital-at-risk. This paper generalizes the work of Emmer et al., 2001, to the case of time dependent parameters and investment strategies, i.e., continuous-time portfolio optimization, and...

Abstract To examine the familiar tradeoff between risk and return in financial investments, we use a rolling two-stage stochastic program to compare mean-risk optimization models with time series momentum strategies. In backtest of allocating investment market index risk-free asset, generate scenarios future according momentum-based process model. A new hybrid approach, strategy controlling dow...