Multi-scale variation, path risk and long-term portfolio management
Mean-variance analysis is constrained to weight the frequency bands in a return time series equally. A more flexible approach allows the user to assign preference weightings to short or longer run frequencies. Wavelet analysis provides further flexibility, removing the need to assume asset returns are stationary and encompassing alternative return concepts. The resulting portfolio choice methodology establishes a reward-energy efficient frontier that allows the user to trade off expected reward against path risk, reflecting preferences as between long or short run variation. The approach leads to dynamic analogues of mean-variance such as band pass portfolios that are more sensitive to variability at designated scales.
Volume (Year): 10 (2010)
Issue (Month): 7 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RQUF20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RQUF20|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- M. B. Haugh & A. W. Lo, 2001. "Asset allocation and derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 45-72.
- Christoph Schleicher, 2002. "An Introduction to Wavelets for Economists," Staff Working Papers 02-3, Bank of Canada.
- Bertrand Candelon & Luis A. Gil-Alana, 2004.
"Fractional integration and business cycle features,"
Springer, vol. 29(2), pages 343-359, 05.
- Candelon, Bertrand & Gil-Alaña, Luis A., 2001. "Fractional integration and business cycle features," SFB 373 Discussion Papers 2001,46, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Luis A. Gil-Alana & Bertrand Candelon, 2004. "Fractional Integration and Business Cycles Features," Faculty Working Papers 09/04, School of Economics and Business Administration, University of Navarra.
- Solnik, Bruno H., 1974. "An equilibrium model of the international capital market," Journal of Economic Theory, Elsevier, vol. 8(4), pages 500-524, August.
- Massimo Guidolin, University of Virginia & Allan Timmermann, 2004. "Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching," Econometric Society 2004 Australasian Meetings 349, Econometric Society.
- Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
- Stephen A. Ross, "undated". "The Arbitrage Theory of Capital Asset Pricing," Rodney L. White Center for Financial Research Working Papers 2-73, Wharton School Rodney L. White Center for Financial Research.
- Stephen A. Ross, "undated". "The Arbitrage Theory of Capital Asset Pricing," Rodney L. White Center for Financial Research Working Papers 02-73, Wharton School Rodney L. White Center for Financial Research.
- Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
- Otrok, Christopher, 2001. "Spectral Welfare Cost Functions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(2), pages 345-367, May.
- John Y. Campbell, Robert J. Shiller, 1988. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," Review of Financial Studies, Society for Financial Studies, vol. 1(3), pages 195-228.
- John Y. Campbell & Robert J. Shiller, 1986. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," NBER Working Papers 2100, National Bureau of Economic Research, Inc.
- Robert J. Shiller & John Y. Campbell, 1986. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," Cowles Foundation Discussion Papers 812, Cowles Foundation for Research in Economics, Yale University.
- Harrison Hong & José Scheinkman & Wei Xiong, 2006. "Asset Float and Speculative Bubbles," Journal of Finance, American Finance Association, vol. 61(3), pages 1073-1117, 06.
- Harrison Hong & Jose Scheinkman & Wei Xiong, 2005. "Asset Float and Speculative Bubbles," NBER Working Papers 11367, National Bureau of Economic Research, Inc.
- Harrison Hong & Jose Scheinkman & Wei Xiong, 2005. "Asset Float and Speculative Bubbles," Levine's Bibliography 122247000000000861, UCLA Department of Economics.
- Viv B. Hall & C. John McDermott, 2006. "The New Zealand Business Cycle: Return To Golden Days?," CAMA Working Papers 2006-21, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Robert Kohn & Oana Papazoglu-Statescu, 2006. "On the equivalence of the static and dynamic asset allocation problems," Quantitative Finance, Taylor & Francis Journals, vol. 6(2), pages 173-183.
- Ramsey, J.B., 2002. "Wavelets in Economics and Finance: Past and Future," Working Papers 02-02, C.V. Starr Center for Applied Economics, New York University.
- Hall, Viv B. & McDermott, C. John, 2009. "The New Zealand Business Cycle," Econometric Theory, Cambridge University Press, vol. 25(04), pages 1050-1069, August.
- Crowley, Patrick M., 2005. "An intuitive guide to wavelets for economists," Research Discussion Papers 1/2005, Bank of Finland.
- Patrick Crowley, 2005. "An intuitive guide to wavelets for economists," Econometrics 0503017, EconWPA.
- Patrick M. Crowley, 2005. "An intuitive guide to wavelets for economists," GE, Growth, Math methods 0508009, EconWPA.
- Fama, Eugene F. & French, Kenneth R., 1988. "Dividend yields and expected stock returns," Journal of Financial Economics, Elsevier, vol. 22(1), pages 3-25, October.
- Roger Bowden, 2003. "The zero-capital approach to portfolio enhancement and overlay management," Quantitative Finance, Taylor & Francis Journals, vol. 3(4), pages 251-261.
- Hahn Shik Lee, 2004. "International transmission of stock market movements: a wavelet analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 11(3), pages 197-201.
- Roger Bowden, 2006. "The generalized value at risk admissible set: constraint consistency and portfolio outcomes," Quantitative Finance, Taylor & Francis Journals, vol. 6(2), pages 159-171.
- Francis In & Sangbae Kim, 2006. "The Hedge Ratio and the Empirical Relationship between the Stock and Futures Markets: A New Approach Using Wavelet Analysis," The Journal of Business, University of Chicago Press, vol. 79(2), pages 799-820, March.
- Jose A. Scheinkman & Wei Xiong, 2003. "Overconfidence and Speculative Bubbles," Journal of Political Economy, University of Chicago Press, vol. 111(6), pages 1183-1219, December.
- Susan Thorp, 2005. "'That Courage is not Inconsistent with Caution': Currency Hedging for Superannuation Funds," The Economic Record, The Economic Society of Australia, vol. 81(252), pages 38-50, 03.
- Bhardwaj, Geetesh & Swanson, Norman R., 2006. "An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 539-578.
- Geetesh Bhardwaj & Norman Swanson, 2004. "An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series," Departmental Working Papers 200422, Rutgers University, Department of Economics.
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
- Campbell, John Y. & Viceira, Luis M., 2002. "Strategic Asset Allocation: Portfolio Choice for Long-Term Investors," OUP Catalogue, Oxford University Press, number 9780198296942.
- Enrico Capobianco, 2004. "Multiscale Analysis of Stock Index Return Volatility," Computational Economics, Springer;Society for Computational Economics, vol. 23(3), pages 219-237, 04.
- Ramsey James B., 2002. "Wavelets in Economics and Finance: Past and Future," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(3), pages 1-29, November.
- Bowden Roger J. & Zhu Jennifer Z, 2007. "Which Are the World's Wobblier Currencies? Reference Exchange Rates and Their Variation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 11(3), pages 1-32, September. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:10:y:2010:i:7:p:783-796. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.