Forward-Looking Volatility Estimation for Risk-Managed Investment Strategies during the COVID-19 Crisis

Persio, Luca Di; Garbelli, Matteo; Wallbaum, Kai

doi:10.3390/risks9020033

Cited by 13 publications

(7 citation statements)

References 36 publications

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“…Mefteh and Romdhane (2022, p. 308) stress that economic growth was further impacted by unemployment because of the negative relationship between unemployment and economic growth, as the decline in investment contributed to a rise in unemployment. A study by Di Persio, Garbelli and Wallbaum (2021) confirms that the pandemic led to substantial volatility within risky assets and investments. In times of uncertainty, such as the peak period of the pandemic, Al-Thaqeb and Algharabali (2019, p. 2) stress that the impact thereof on households, businesses and governments' investment and spending is significant.…”

Section: Literature Reviewmentioning

confidence: 94%

Local economies preparing for a turbulent future

Kearns

2023

Centre for Local Economic Development: Topics in Local Development

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Peer-review declarationThe publisher (AOSIS) endorses the South African 'National Scholarly Book Publishers Forum Best Practice for Peer-Review of Scholarly Books'. The book proposal form was evaluated by our Social Sciences, Humanities, Education and Business Management editorial board. The manuscript underwent an evaluation to compare the level of originality with other published works and was subjected to rigorous two-step peer-review before publication by two technical expert reviewers who did not include the volume editor and were independent of the volume editor, with the identities of the reviewers not revealed to the editor(s) or author(s). The reviewers were independent of the publisher, editor(s) and author(s). The publisher shared feedback on the similarity report and the reviewers' inputs with the manuscript's editor(s) or author(s) to improve the manuscript. Where the reviewers recommended revision and improvements, the editor(s) or author(s) responded adequately to such recommendations. The reviewers commented positively on the scholarly merits of the manuscript and recommended that the book be published. v Research justificationLocal economic development (LED) is at the core of developing a sustainable, inclusive and resilient local region. Local economic development aims to involve all role-players (local government, private sector and community) in the decision-making process in order to create a participatory environment where social and environmental concerns are balanced with economic pursuits. Achieving this is a challenge for local governments in developed and developing regions. The global coronavirus disease 2019 (COVID-19) outbreak has brought about an entirely new set of challenges for local governments, businesses (formal and informal) and policymakers. This book aims to highlight how local economies are impacted during times of a global pandemic from global perspectives.The outbreak of the global COVID-19 pandemic has presented unprecedented challenges to developed and less-developed local economies. The book aims to uncover the best practices in responding to a pandemic from regional perspectives and from a trans-disciplinary point of view. Scholars from various spheres in the arts, culture, education, health, environment, business and the public sector present their perspectives on the impacts, responses and consequences for local economies and communities. As a fundamental part of LED, the arts, culture, education, health, environment, business and public sector domains were some of the hardest hit by the pandemic, and the pandemic has certainly exposed the weaknesses of current development policies and calls for new, innovative measures in developing resilient local regions. This book forms an essential part of the development series of the Centre for Local Economic Development (CENLED) as it offers insight into how a global pandemic (COVID-19) impacted LED in various regions and the different responses from different spheres.

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Section: Literature Reviewmentioning

confidence: 94%

Local economies preparing for a turbulent future

Kearns

2023

Centre for Local Economic Development: Topics in Local Development

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“…Optimality restrictions in some cases lead to portfolio segregation. In the same vein, recent studies by [19] have shown that the turbulence produced by Covid-19 has generated significant volatility in terms of investments and risky assets. The research also discusses the issue of sustainability in the context of limited resources and their diverse allocation needs.…”

Section: Introductionmentioning

confidence: 94%

A Model for the Optimal Investment Strategy in the Context of Pandemic Regional Lockdown

et al. 2021

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The Covid-19 pandemic has generated major changes in society, most of them having a negative impact on the quality of life and income obtained by the population and businesses. The negative consequences have been highlighted in the decrease of the GPD level for regions, countries and even continents. Returning to pre-pandemic levels is a considerable effort for both economic and political decision-makers. This article deals with the construction of a mathematical model for economic aspects in the context of variable productivity in time. Through this mathematical model, we propose to maximize revenues in pandemic conditions, in order to limit the economic consequences of the lockdown. One advantage of the proposed model consists in the fact that it is based on units that can be regions, economic branches, economic units or fields of investment. Another strength of the model is determined by the fact that it offers the possibility to choose between two different investment strategies, based on the specific options of the decision makers: the consistent increase of the state revenues or the amelioration of the disparity phenomenon. Furthermore, our model extends previous approaches from the literature by adding some generalization options and the proposed model can be applied in lockdown cases and seasonal situations.

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“…Di Persio et al . 2021 and references therein). In the present study, we take a simplified approach and use the annualized historical volatility estimated over the most recent 20 business days.…”

Section: The Dynamic Target Volatility Strategymentioning

confidence: 99%

Improving Retirement Coverage Durability with Target Volatility Strategy for Changing Interest Rate Environment

Bai,

Steblovskaya,

Wallbaum

2023

Asia-Pac J of Fin Stud

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Motivated by the recent market turbulence triggered by the COVID‐19 pandemic and the changing interest rate environment, we propose an improved investment strategy for extending retirement coverage in the pension decumulation stage. The newly proposed strategy with interest rate dependent volatility targets can significantly improve the durability of conventional retirement portfolios with constant risky and risk‐free asset allocations. This conclusion follows from our analysis in the simulated financial market with stochastic interest rate and stochastic volatility, based on the Hybrid Heston‐Vasicek model. Consequently, the proposed target volatility strategy could be a suitable option for more reliable retirement coverage after retirement.

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Forward-Looking Volatility Estimation for Risk-Managed Investment Strategies during the COVID-19 Crisis

Cited by 13 publications

References 36 publications

Local economies preparing for a turbulent future

Local economies preparing for a turbulent future

A Model for the Optimal Investment Strategy in the Context of Pandemic Regional Lockdown

Improving Retirement Coverage Durability with Target Volatility Strategy for Changing Interest Rate Environment

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