IDEAS home Printed from https://ideas.repec.org/a/rsr/supplm/v64y2016i1p59-63.html
   My bibliography  Save this article

Portfolio Management and Predictability

Author

Listed:
  • Gabriela Victoria ANGHELACHE

    (Bucharest University of Economic Studies)

  • Prof. Vladimir MODRAK

    (Technical University of Košice)

  • Madalina Gabriela ANGHEL

    (“Artifex” University of Bucharest)

  • Marius POPOVICI

    (Bucharest University of Economic Studies)

Abstract

Future developments of states and states of nature of a system are predictable. Portfolio management needs predictability techniques In order to benefit of opportunities. In theory, predictability has no time dimension. Practically, as opportunity is embedded stochastically, there may appear changes of state that are predictable, as in the correlation between returns and stocks. A certain resource reversion might be possible with regard to returns and stock. The predictability of the optimal portfolio management becomes the objective of any investor who follows a flexible strategy based on optimal exposure to risk. Thus, investors will try to anticipate the possible shocks affecting the opportunity set of their investment. More precisely, they will admit the possibility to hedge any bad news concerning the future opportunity set, the so called “myopia” relative to time horizon when predictability is possible. This circumstance is part of the relative risk aversion. We can affirm that predictability has the same effect as a reduction of risk aversion.

Suggested Citation

  • Gabriela Victoria ANGHELACHE & Prof. Vladimir MODRAK & Madalina Gabriela ANGHEL & Marius POPOVICI, 2016. "Portfolio Management and Predictability," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(1), pages 59-63, January.
    • Handle: RePEc:rsr:supplm:v:64:y:2016:i:1:p:59-63
    as

    Download full text from publisher

    File URL: http://www.revistadestatistica.ro/supliment/wp-content/uploads/2016/03/RRS_01_2016_A09.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Madalina Gabriela ANGHEL & Georgeta LIXANDRU (BARDASU), 2013. "Classical Models used in the Management of Financial Instruments Portfolio," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 61(3), pages 208-211, September.
    2. Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric, 2013. "Prediction Markets for Economic Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 657-687, Elsevier.
    3. Constantin ANGHELACHE & Mădălina Gabriela ANGHEL, 2014. "Using the regression model for the portfolios analysis and management," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(593)), pages 53-66, April.
    4. Omesh Kini & Shehzad Mian & Michael Rebello & Anand Venkateswaran, 2009. "On the Structure of Analyst Research Portfolios and Forecast Accuracy," Journal of Accounting Research, Wiley Blackwell, vol. 47(4), pages 867-909, September.
    5. repec:agr:journl:v:4(593):y:2014:i:4(593):p:53-66 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hope, Ole-Kristian & Su, Xijiang, 2021. "Peer-level analyst transitions," Journal of Corporate Finance, Elsevier, vol. 70(C).
    2. Mikuláš Gangur & Miroslav Plevný, 2014. "Tools for Consumer Rights Protection in the Prediction of Electronic Virtual Market and Technological Changes," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 16(36), pages 578-578, May.
    3. Galanti, Sébastien & Leroy, Aurélien & Vaubourg, Anne-Gaël, 2022. "Investment and access to external finance in Europe: Does analyst coverage matter?," International Review of Financial Analysis, Elsevier, vol. 81(C).
    4. Liem Thanh Nguyen & Khuong Vinh Nguyen, 2021. "Accounting Comparability and Cash Holdings in Vietnam," IJFS, MDPI, vol. 9(2), pages 1-14, May.
    5. Polson Nicholas G. & Stern Hal S., 2015. "The implied volatility of a sports game," Journal of Quantitative Analysis in Sports, De Gruyter, vol. 11(3), pages 145-153, September.
    6. Boleslavsky, Raphael & Kelly, David L. & Taylor, Curtis R., 2017. "Selloffs, bailouts, and feedback: Can asset markets inform policy?," Journal of Economic Theory, Elsevier, vol. 169(C), pages 294-343.
    7. Kyle C. Meng, 2017. "Using a Free Permit Rule to Forecast the Marginal Abatement Cost of Proposed Climate Policy," American Economic Review, American Economic Association, vol. 107(3), pages 748-784, March.
    8. Yi Dong & Nan Hu & Xu Li & Ling Liu, 2017. "Analyst Firm Coverage and Forecast Accuracy: The Effect of Regulation Fair Disclosure," Abacus, Accounting Foundation, University of Sydney, vol. 53(4), pages 450-484, December.
    9. Xing, Cunyu & Li, Yanglei, 2019. "The cost of speaking in two tongues," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 465-475.
    10. Bo Cowgill & Eric Zitzewitz, 2015. "Corporate Prediction Markets: Evidence from Google, Ford, and Firm X," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(4), pages 1309-1341.
    11. Amor-Tapia, Borja & Tascón Fernández, María T., 2014. "Estimation of future levels and changes in profitability: The effect of the relative position of the firm in its industry and the operating-financing disaggregation," Revista de Contabilidad - Spanish Accounting Review, Elsevier, vol. 17(1), pages 30-46.
    12. Xiaomeng Chen & Meiting Lu & Yaowen Shan & Yizhou Zhang, 2021. "Australian evidence on analysts' cash flow forecasts: issuance, accuracy and usefulness," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(1), pages 3-50, March.
    13. Victor Olkhov, 2023. "Economic Complexity Limits Accuracy of Price Probability Predictions by Gaussian Distributions," Papers 2309.02447, arXiv.org, revised Apr 2024.
    14. Huang, Allen H. & Lin, An-Ping & Zang, Amy Y., 2022. "Cross-industry information sharing among colleagues and analyst research," Journal of Accounting and Economics, Elsevier, vol. 74(1).
    15. Zheng, Yi & Wu, Da, 2023. "The impact of opacity on bank valuation during the global financial crisis: A channel analysis," International Review of Financial Analysis, Elsevier, vol. 87(C).
    16. Georg Graetz, 2019. "Labor Demand in the Past, Present, and Future," European Economy - Discussion Papers 114, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    17. Refet S. Gürkaynak & Jonathan H. Wright, 2013. "Identification and Inference Using Event Studies," Manchester School, University of Manchester, vol. 81, pages 48-65, September.
    18. Madalina-Gabriela Anghel & Constantin Anghelache & Stefan Virgil Iacob, 2022. "Theoretical Elements Regarding The Management Of A Dynamic Portfolio," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 1, pages 91-96, February.
    19. Constantin ANGHELACHE & Ioan Constantin DIMA & Mãdãlina-Gabriela ANGHEL, 2016. "Using the Autoregressive Model for the Economic Forecast during the Period 2014- 2018," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(1), pages 21-31, January.
    20. Fu, Zheng & Ma, Yechi & Li, Suyang & Qiao, Lu, 2023. "Peer performance and the asymmetric timeliness of earnings recognition," International Review of Financial Analysis, Elsevier, vol. 85(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rsr:supplm:v:64:y:2016:i:1:p:59-63. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Adrian Visoiu (email available below). General contact details of provider: https://edirc.repec.org/data/stagvro.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.