Stock market predictability and tactical asset allocation:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
2004
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIV, 214 S. graph. Darst. |
Staff View
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Record in the Search Index
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| adam_text | STOCK MARKET PREDICTABILITY AND TACTICAL ASSET ALLOCATION DISSERTATION
DER UNIVERSITAT ST. GALLEN, HOCHSCHULE FUR WIRTSCHAFTS-, RECHTS- UND
SOZIALWISSENSCHAFTEN (HSG) ZUR ERLANGUNG DER WIIRDE EINES DOKTORS DER
WIRTSCHAFTSWISSENSCHAFTEN VORGELEGT VON DAVID REY VON GELTWIL (AARGAU)
GENEHMIGT AUF ANTRAG DER HERREN PROF. DR. HEINZ ZIMMERMANN UND PROF. DR.
MANUEL ANUNANN DISSERTATION NR. 2951 DIFO-DRUCK GMBH, BAMBERG 2004
CONTENTS INTRODUCTION VII 1 STOCK MARKET PREDICTABILITY: IS IT THERE? A
CRITICAL REVIEW 1 1.1 INTRODUCTION AND OVERVIEW 2 1.2 REVIEW OF CURRENT
RESEARCH 30 1.3 CONCLUSION 37 2 TACTICAL ASSET ALLOCATION: AN
ALTERNATIVE DEFINITION 39 2.1 COMMON DEFINITIONS OF STRATEGIC AND
TACTICAL ASSET ALLOCATION . 40 2.2 TACTICAL ASSET ALLOCATION: AN
ALTERNATIVE DEFINITION 43 2.3 CONCLUSION AND A POSSIBLE RESOLUTION 49 3
TACTICAL ASSET ALLOCATION, PARAMETER UNCERTAINTY, AND INTERTEM- PORAL
HEDGING 53 3.1 INTRODUCTION 54 3.2 ASSET ALLOCATION FRAMEWORK FOR A
BUY-AND-HOLD INVESTOR . . . . 58 3.2.1 THE MYOPIC PORTFOLIO CHOICE
PROBLEM 59 3.2.2 CASE I: I.I.D. RETURNS 61 3.2.3 CASE II: RETURN
PREDICTABILITY 63 3.2.4 EMPIRICAL RESULTS 66 3.3 ASSET ALLOCATION
FRAMEWORK FOR A DYNAMIC INVESTOR 100 3.3.1 THE DYNAMIC PORTFOLIO CHOICE
PROBLEM 100 3.3.2 EMPIRICAL RESULTS 103 3.4 CONCLUSION 109 4 TACTICAL
ASSET ALLOCATION AND MODEL UNCERTAINTY 111 4.1 INTRODUCTION 112 IN IV
CONTENTS 4.2 PREDICTABILITY IN THE PRESENCE OF MODEL UNCERTAINTY 113 4.3
MODEL UNCERTAINTY AND INVESTMENT PERSPECTIVES 116 4.3.1 THE BAYESIAN
WEIGHTED PREDICTIVE DISTRIBUTION 116 4.3.2 VARIANCE DECOMPOSITION 117
4.3.3 PORTFOLIO CHOICE IN THE PRESENCE OF MODEL UNCERTAINTY . . 118 4.4
EMPIRICAL RESULTS 119 4.4.1 POSTERIOR PROBABILITIES OF FORECASTING
MODELS 119 4.4.2 VARIANCE DECOMPOSITION 123 4.4.3 ASSET ALLOCATION 126
4.4.4 BAYESIAN MODEL AVERAGING: OUT-OF-SAMPLE EVIDENCE . . . 127 4.5
CONCLUSION 130 5 A VARIANCE DECOMPOSITION FOR STOCK MARKET RETURNS 133
5.1 INTRODUCTION 134 5.2 EXPECTED RETURNS AND UNEXPECTED RETURNS 136
5.2.1 REAL RETURNS 138 5.2.2 EXCESS RETURNS 138 5.3 ALTERNATIVE
APPROACHES TO VARIANCE DECOMPOSITION 139 5.3.1 THE UNIVARIATE
TIME-SERIES APPROACH AND MEAN REVERSION 140 5.3.2 THE VAR APPROACH 147
5.4 EMPIRICAL RESULTS 149 5.4.1 UNIVARIATE IMPLICATIONS AND MEAN
REVERSION 150 5.4.2 VAR AND REAL RETURNS 151 5.4.3 VAR AND EXCESS
RETURNS 157 5.4.4 ROBUSTNESS OF THE RESULTS 158 5.5 CONCLUSION 164 6
EPILOGUE 167 A DESCRIPTION OF DATA 175 A.I THE STOCK MARKET INDEX 175
A.2 PREDICTIVE VARIABLES 179 B NUMERICAL PROCEDURES 195 B.I THE
PORTFOLIO CHOICE PROBLEM OF A BUY-AND-HOLD INVESTOR . . . . 195 B.2 THE
DYNAMIC PROGRAMMING PROBLEM 196
|
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| indexdate | 2024-07-09T20:00:51Z |
| institution | BVB |
| language | English |
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| physical | XIV, 214 S. graph. Darst. |
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| spelling | Rey, David Verfasser aut Stock market predictability and tactical asset allocation vorgelegt von David Rey 2004 XIV, 214 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 2004 Portfolio-analyse gtt Börse (DE-588)4007502-3 gnd rswk-swf Aktienanlage (DE-588)4125483-1 gnd rswk-swf Marktprognose (DE-588)4213774-3 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Schweiz (DE-588)4053881-3 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Schweiz (DE-588)4053881-3 g Börse (DE-588)4007502-3 s Aktienanlage (DE-588)4125483-1 s Marktprognose (DE-588)4213774-3 s Ökonometrisches Modell (DE-588)4043212-9 s b DE-604 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012922307&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Rey, David Stock market predictability and tactical asset allocation Portfolio-analyse gtt Börse (DE-588)4007502-3 gnd Aktienanlage (DE-588)4125483-1 gnd Marktprognose (DE-588)4213774-3 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| subject_GND | (DE-588)4007502-3 (DE-588)4125483-1 (DE-588)4213774-3 (DE-588)4043212-9 (DE-588)4053881-3 (DE-588)4113937-9 |
| title | Stock market predictability and tactical asset allocation |
| title_auth | Stock market predictability and tactical asset allocation |
| title_exact_search | Stock market predictability and tactical asset allocation |
| title_full | Stock market predictability and tactical asset allocation vorgelegt von David Rey |
| title_fullStr | Stock market predictability and tactical asset allocation vorgelegt von David Rey |
| title_full_unstemmed | Stock market predictability and tactical asset allocation vorgelegt von David Rey |
| title_short | Stock market predictability and tactical asset allocation |
| title_sort | stock market predictability and tactical asset allocation |
| topic | Portfolio-analyse gtt Börse (DE-588)4007502-3 gnd Aktienanlage (DE-588)4125483-1 gnd Marktprognose (DE-588)4213774-3 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| topic_facet | Portfolio-analyse Börse Aktienanlage Marktprognose Ökonometrisches Modell Schweiz Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012922307&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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