[BOOK][B] A non-random walk down Wall Street
AW Lo, AC MacKinlay - 2011 - degruyter.com
For over half a century, financial experts have regarded the movements of markets as a
random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this …
random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this …
Learning about predictability: The effects of parameter uncertainty on dynamic asset allocation
Y Xia - The Journal of Finance, 2001 - Wiley Online Library
This paper examines the effects of uncertainty about the stock return predictability on optimal
dynamic portfolio choice in a continuous time setting for a longhorizon investor. Uncertainty …
dynamic portfolio choice in a continuous time setting for a longhorizon investor. Uncertainty …
Performance functions and reinforcement learning for trading systems and portfolios
We propose to train trading systems and portfolios by optimizing objective functions that
directly measure trading and investment performance. Rather than basing a trading system …
directly measure trading and investment performance. Rather than basing a trading system …
[BOOK][B] Microscopic simulation of financial markets: from investor behavior to market phenomena
Microscopic Simulation (MS) uses a computer to represent and keep track of individual ("
microscopic") elements in order to investigate complex systems which are analytically …
microscopic") elements in order to investigate complex systems which are analytically …
Subjective and objective risk tolerance: Implications for optimal portfolios
SD Hanna, P Chen - Available at SSRN 95488, 1998 - papers.ssrn.com
The distinction between subjective and objective risk tolerance is illustrated by expected
utility analyses of portfolios. Optimal portfolios were derived for one, 5, and 20 year …
utility analyses of portfolios. Optimal portfolios were derived for one, 5, and 20 year …
Absolute and relative risk aversion: An experimental study
H Levy - Journal of Risk and uncertainty, 1994 - Springer
Kenneth Arrow posed the hypotheses that investors reveal decreasing absolute risk
aversion (DARA) and increasing relative risk aversion (IRRA). It is very difficult to empirically …
aversion (DARA) and increasing relative risk aversion (IRRA). It is very difficult to empirically …
Maximizing predictability in the stock and bond markets
AW Lo, AC MacKinlay - Macroeconomic dynamics, 1997 - cambridge.org
We construct portfolios of stocks and bonds that are maximally predictable with respect to a
set of ex-ante observable economic variables, and show that these levels of predictability …
set of ex-ante observable economic variables, and show that these levels of predictability …
Stocks, bonds, the Sharpe ratio, and the investment horizon
An investigation of the empirical relationship between the Sharpe ratio and the investment
horizon for portfolios of small stocks, larger stocks, and bonds shows that the Sharpe ratio …
horizon for portfolios of small stocks, larger stocks, and bonds shows that the Sharpe ratio …
A comparison of linear regression and neural network methods for predicting excess returns on large stocks
VS Desai, R Bharati - Annals of Operations Research, 1998 - Springer
Recent studies have shown that there is predictable variation in returns of financial assets
over time. We investigate whether the predictive power of the economic and financial …
over time. We investigate whether the predictive power of the economic and financial …
Low-risk anomalies in global fixed income: Evidence from major broad markets
RL de Carvalho, P Dugnolle, X Lu… - The Journal of Fixed …, 2014 - pm-research.com
This article presents the most compelling empirical evidence yet of a low-risk anomaly in
fixed-income markets. The authors show that portfolios invested in bonds with the lowest risk …
fixed-income markets. The authors show that portfolios invested in bonds with the lowest risk …