A Frequency Domain Methodology for Time Series Modelling

Steehouwer, Hens

doi:10.1057/9780230251298_15

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Cited by 5 publications

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“…As well as, it can be thought as a filter so that the original time series can be decomposed into different frequency parts. Specially, financial time series are showing different behaviors according to different frequencies and different time scales [63]. After applying Fourier transform, no time information will be left to occur.…”

Section: Introductionmentioning

confidence: 99%

Multiresolution analysis of S&P500 time series

Kılıç

Uğur

2016

Ann Oper Res

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Section: Introductionmentioning

confidence: 99%

Multiresolution analysis of S&P500 time series

Kılıç

Uğur

2016

Ann Oper Res

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CVaR optimization of real estate portfolios in an ALM context

Kramer¹,

Stevenson²,

Devaney³

et al. 2012

Proceedings of the 19th Annual European Real Estate Society Conference - Edinburgh, Scotland

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In this paper we show the result of an optimization study of sector and region allocation within real estate portfolios. The optimizations are performed in an ALM context. That is, we try to determine optimal allocations based on a funding ratio risk measure for Dutch pension funds. The risk measure we use is the Conditional Value at Risk (CVaR). In our optimizations, we assume a fixed portfolio for the non-real estate part and optimize the composition of the part allocated to non-listed real estate. We conclude that within Europe, the number of countries and sectors that appear in the optimal portfolio is limited. So the diversification gain from investing in a large number of sectors and countries is relatively limited within Europe. For countries outside Europe, the results are sensitive to changes in the input and assumptions. Furthermore, we conclude that high leverage is only acceptable when the underlying real estate market is very stable. Finally, although the optimal weights differ per type of pension fund, the countries and sectors that appear in the optimal portfolios are quite stable.

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Imposing Views on Frequency Domain Factor Models

Schans

Steehouwer

2012

SSRN Journal

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A Frequency Domain Methodology for Time Series Modelling

Cited by 5 publications

References 8 publications

Multiresolution analysis of S&P500 time series

Multiresolution analysis of S&P500 time series

CVaR optimization of real estate portfolios in an ALM context

Imposing Views on Frequency Domain Factor Models

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