[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 …

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 …

Performance functions and reinforcement learning for trading systems and portfolios

J Moody, L Wu, Y Liao, M Saffell - Journal of forecasting, 1998 - Wiley Online Library
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 …

[BOOK][B] Microscopic simulation of financial markets: from investor behavior to market phenomena

H Levy, M Levy, S Solomon - 2000 - books.google.com
Microscopic Simulation (MS) uses a computer to represent and keep track of individual ("
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 …

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 …

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 …

Stocks, bonds, the Sharpe ratio, and the investment horizon

CW Hodges, WRL Taylor, JA Yoder - Financial Analysts Journal, 1997 - Taylor & Francis
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 …

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 …

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 …