Exploiting Investor Sentiment For Portfolio Optimization
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Exploiting Investor Sentiment For Portfolio Optimization
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Author : Nicolas Banholzer
language : en
Publisher: GRIN Verlag
Release Date : 2018-09-17
Exploiting Investor Sentiment For Portfolio Optimization written by Nicolas Banholzer and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-09-17 with Mathematics categories.
Master's Thesis from the year 2018 in the subject Statistics, grade: 1.0, University of Augsburg (Wirtschaftswissenschaftliche Fakultät, Lehrstuhl für Statistik), language: English, abstract: In efficient financial markets, there is no room for sentimental investors. Any new information would be immediately absorbed and any mispricing immediately corrected by the forces of rational arbitrageurs doing the maths with the fundamentals. But why should financial markets be different from any other market where humans interact and are subject to psychological biases? There is strong empirical evidence that investor sentiment, broadly defined as "a belief about future cash flows and investment risks that is not justified by the facts at hand", plays an important role in financial markets. It can lead to significant overpricing/underpricing, particularly of assets prone to subjective valuations. With limits/risks to arbitrage in the short term, prices rather correct over the medium to long term as sentimental beliefs mean-revert. Building on the studies by Baker and Wurgler 2006 and Baker, Wurgler, and Y. Yuan 2012, measures of investor sentiment for international markets are constructed. Using the Copula Opinion Pooling approach developed by Attilio Meucci, this thesis shows how to incorporate these sentiment measures into portfolio optimization. Thereby, a sentiment-based trading strategy that exploits the medium-term reversal effect of sentiment is developed and empirically tested. The results are promising as they provide strong evidence that sentiment contains beneficial information that should not be neglected by quantitative portfolio managers.
Successful Investing Is A Process
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Author : Jacques Lussier
language : en
Publisher: John Wiley & Sons
Release Date : 2013-01-28
Successful Investing Is A Process written by Jacques Lussier and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-28 with Business & Economics categories.
A process-driven approach to investment management that lets you achieve the same high gains as the most successful portfolio managers, but at half the cost What do you pay for when you hire a portfolio manager? Is it his or her unique experience and expertise, a set of specialized analytical skills possessed by only a few? The truth, according to industry insider Jacques Lussier, is that, despite their often grandiose claims, most successful investment managers, themselves, can't properly explain their successes. In this book Lussier argues convincingly that most of the gains achieved by professional portfolio managers can be accounted for not by special knowledge or arcane analytical methodologies, but proper portfolio management processes whether they are aware of this or not. More importantly, Lussier lays out a formal process-oriented approach proven to consistently garner most of the excess gains generated by traditional analysis-intensive approaches, but at a fraction of the cost since it could be fully implemented internally. Profit from more than a half-century's theoretical and empirical literature, as well as the author's own experiences as a top investment strategist Learn an approach, combining several formal management processes, that simplifies portfolio management and makes its underlying qualities more transparent, while lowering costs significantly Discover proven methods for exploiting the inefficiencies of traditional benchmarks, as well as the behavioral biases of investors and corporate management, for consistently high returns Learn to use highly-efficient portfolio management and rebalancing methodologies and an approach to diversification that yields returns far greater than traditional investment programs
Artificial Intelligence In Asset Management
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Author : Söhnke M. Bartram
language : en
Publisher: CFA Institute Research Foundation
Release Date : 2020-08-28
Artificial Intelligence In Asset Management written by Söhnke M. Bartram and has been published by CFA Institute Research Foundation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-08-28 with Business & Economics categories.
Artificial intelligence (AI) has grown in presence in asset management and has revolutionized the sector in many ways. It has improved portfolio management, trading, and risk management practices by increasing efficiency, accuracy, and compliance. In particular, AI techniques help construct portfolios based on more accurate risk and return forecasts and more complex constraints. Trading algorithms use AI to devise novel trading signals and execute trades with lower transaction costs. AI also improves risk modeling and forecasting by generating insights from new data sources. Finally, robo-advisors owe a large part of their success to AI techniques. Yet the use of AI can also create new risks and challenges, such as those resulting from model opacity, complexity, and reliance on data integrity.
Dual Momentum Investing An Innovative Strategy For Higher Returns With Lower Risk
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Author : Gary Antonacci
language : en
Publisher: McGraw Hill Professional
Release Date : 2014-11-21
Dual Momentum Investing An Innovative Strategy For Higher Returns With Lower Risk written by Gary Antonacci and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-21 with Business & Economics categories.
The investing strategy that famously generates higher returns with substantially reduced risk--presented by the investor who invented it "A treasure of well researched momentum-driven investing processes." Gregory L. Morris, Chief Technical Analyst and Chairman, Investment Committee of Stadion Money Management, LLC, and author of Investing with the Trend Dual Momentum Investing details the author’s own momentum investing method that combines U.S. stock, world stock, and aggregate bond indices--a formula proven to dramatically increase profits while lowering risk. Antonacci reveals how momentum investors could have achieved long-run returns nearly twice as high as the stock market over the past 40 years, while avoiding or minimizing bear market losses--and he provides the information and insight investors need to achieve such success going forward. His methodology is designed to pick up on major changes in relative strength and market trend. Gary Antonacci has over 30 years experience as an investment professional focusing on under exploited investment opportunities. In 1990, he founded Portfolio Management Consultants, which advises private and institutional investors on asset allocation, portfolio optimization, and advanced momentum strategies. He writes and runs the popular blog and website optimalmomentum.com. Antonacci earned his MBA at Harvard.
The Current State Of Quantitative Equity Investing
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Author : Ying L. Becker
language : en
Publisher: CFA Institute Research Foundation
Release Date : 2018-05-10
The Current State Of Quantitative Equity Investing written by Ying L. Becker and has been published by CFA Institute Research Foundation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-05-10 with Business & Economics categories.
Quantitative equity management techniques are helping investors achieve more risk efficient and appropriate investment outcomes. Factor investing, vetted by decades of prior and current research, is growing quickly, particularly in in the form of smart-beta and ETF strategies. Dynamic factor-timing approaches, incorporating macroeconomic and investment conditions, are in the early stages but will likely thrive. A new generation of big data approaches are rendering quantitative equity analysis even more powerful and encompassing.
Risk Analysis And Portfolio Modelling
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Author : Elisa Luciano
language : en
Publisher: MDPI
Release Date : 2019-10-16
Risk Analysis And Portfolio Modelling written by Elisa Luciano and has been published by MDPI this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-10-16 with Business & Economics categories.
Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.
Efficiently Inefficient
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Author : Lasse Heje Pedersen
language : en
Publisher: Princeton University Press
Release Date : 2019-09-17
Efficiently Inefficient written by Lasse Heje Pedersen and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-09-17 with Business & Economics categories.
Efficiently Inefficient describes the key trading strategies used by hedge funds and demystifies the secret world of active investing. Leading financial economist Lasse Heje Pedersen combines the latest research with real-world examples and interviews with top hedge fund managers to show how certain trading strategies make money--and why they sometimes don't. Pedersen views markets as neither perfectly efficient nor completely inefficient. Rather, they are inefficient enough that money managers can be compensated for their costs through the profits of their trading strategies and efficient enough that the profits after costs do not encourage additional active investing. Understanding how to trade in this efficiently inefficient market provides a new, engaging way to learn finance. Pedersen analyzes how the market price of stocks and bonds can differ from the model price, leading to new perspectives on the relationship between trading results and finance theory. He explores several different areas in depth--fundamental tools for investment management, equity strategies, macro strategies, and arbitrage strategies--and he looks at such diverse topics as portfolio choice, risk management, equity valuation, and yield curve logic. The book's strategies are illuminated further by interviews with leading hedge fund managers: Lee Ainslie, Cliff Asness, Jim Chanos, Ken Griffin, David Harding, John Paulson, Myron Scholes, and George Soros.
Quantitative Equity Portfolio Management
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Author : Ludwig B. Chincarini
language : en
Publisher:
Release Date : 2006
Quantitative Equity Portfolio Management written by Ludwig B. Chincarini and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Investment analysis categories.
With quantitative investment strategies gaining in popularity, a new breed of investment professional is devising increasingly successful strategies to exploit market anomalies. Quantitative Equity Portfolio Management: Modern Techniques and Applications provides a self-contained review of quantitative investment strategies and theoretical explanations behind market inefficiencies. It discusses the return forecasting and risk models, portfolio construction, and trade implementation. This book solves problems related to quantitative model building, illustrating concepts and solutions with numerical and empirical examples. While rooted in traditional academic research, the book provides more advanced and practical methods for portfolio management, such as nonlinear, contextual, and factor-timing alpha models.
Risk And Asset Allocation
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Author : Attilio Meucci
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-05-22
Risk And Asset Allocation written by Attilio Meucci and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-05-22 with Business & Economics categories.
Discusses in the practical and theoretical aspects of one-period asset allocation, i.e. market Modeling, invariants estimation, portfolia evaluation, and portfolio optimization in the prexence of estimation risk The book is software based, many of the exercises simulate in Matlab the solution to practical problems and can be downloaded from the book's web-site
Proceedings Of The 2nd International Conference On Recent Trends In Machine Learning Iot Smart Cities And Applications
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Author : Vinit Kumar Gunjan
language : en
Publisher: Springer Nature
Release Date : 2022-01-10
Proceedings Of The 2nd International Conference On Recent Trends In Machine Learning Iot Smart Cities And Applications written by Vinit Kumar Gunjan and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-01-10 with Technology & Engineering categories.
This book contains original, peer-reviewed research articles from the Second International Conference on Recent Trends in Machine Learning, IoT, Smart Cities and Applications, held in March 28-29th 2021 at CMR Institute of Technology, Hyderabad, Telangana India. It covers the latest research trends and developments in areas of machine learning, artificial intelligence, neural networks, cyber-physical systems, cybernetics, with emphasis on applications in smart cities, Internet of Things, practical data science and cognition. The book focuses on the comprehensive tenets of artificial intelligence, machine learning and deep learning to emphasize its use in modelling, identification, optimization, prediction, forecasting and control of future intelligent systems. Submissions were solicited of unpublished material, and present in-depth fundamental research contributions from a methodological/application perspective in understanding artificial intelligence and machine learning approaches and their capabilities in solving a diverse range of problems in industries and its real-world applications.