Three papers in risk-factors and asset allocations / by Marco Erling, MBA, CFA, FRM. Wuppertal, [2019]
Inhalt
- Contents
- List of Figures
- List of Tables
- Acronyms
- Introduction
- Analyzing Precious Metals Returns using a Kalman Smoother Approach
- Introduction
- Mathematical Methods
- Data Description
- Empirical Analysis
- Co-integration
- Time-Varying Sensitivity Analysis
- Results for Gold
- Results for Silver
- Results for Platinum
- Results for Palladium
- Simultaneous analysis of sensitivities
- Dynamic Time Warping results
- Implications
- Conclusion
- Appendix Tables and figures
- Factor Risk Parity with Portfolio Weight Constraints
- Introduction
- Related literature
- Naive and heuristic allocation strategies
- Factor risk parity allocations
- Principal component analysis
- Risk parity applied to principal components
- Introduction to polyhedra
- Factor risk parity polytopes
- Data description
- Empirical analysis
- Conclusion
- Appendix Double Description method
- Appendix Random vector for numerical calculations
- Appendix Tables and charts
- Appendix Matrices and variables
- Tail Driven Factor Risk Parity with Volatility Investments
- Introduction
- Related literature
- Factor risk parity model
- Volatility investments
- Data description
- Empirical analysis
- Conclusion
- Appendix Closed form solution - modified expected shortfall
- Appendix Optimal weight ratio validation
- Appendix Tables and charts
- Appendix Matrices and variables
- Conclusion and final remarks
- Bibliography