Optimization of Asset Allocation and Liquidation Time in Investment Decisions with VaR as a Risk Measure

Xu, Chunhui; Ye, Yinyu

doi:10.1007/s10614-023-10451-x

Comput Econ

2023

DOI: 10.1007/s10614-023-10451-x

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Optimization of Asset Allocation and Liquidation Time in Investment Decisions with VaR as a Risk Measure

Chunhui Xu,

Yinyu Ye

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2024

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Cited by 3 publications

References 25 publications

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Efficiency Assessment of Mutual Fund With Risk and Negative Data: An Improved Two‐Stage Network SBM Model

Shi,

Pei,

Liu

2024

Manage Decis Econ

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This paper innovatively proposes an improved two‐stage network SBM model, which could handle negative data and incorporates the CVaR indicator representing risks in efficiency evaluation. The proposed approach is utilized to evaluate and analyze the overall efficiency and two subsystems' efficiencies of 29 mutual funds in China from 2018 to 2022. Empirical results demonstrate that both operational management efficiency and portfolio management efficiency significantly impact overall efficiency. Funds exhibiting excellent performance in operational management subsystem are more likely to achieve outstanding overall performance. Based on the empirical results, some policy recommendations are proposed.

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Efficiency Assessment of Mutual Fund With Risk and Negative Data: An Improved Two‐Stage Network SBM Model

Shi,

Pei,

Liu

2024

Manage Decis Econ

View full text Add to dashboard Cite

show abstract

Improving Cointegration-Based Pairs Trading Strategy with Asymptotic Analyses and Convergence Rate Filters

Ti,

Dai,

Wang

et al. 2024

Comput Econ

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A pairs trading strategy (PTS) constructs a mean-reverting portfolio whose logarithmic value moves back and forth around a mean price level. It makes profits by longing (or shorting) the portfolio when it is underpriced (overpriced) and closing the portfolio when its value converges to the mean price level. The cointegration-based PTS literature uses the historical sample mean and variance to establish their open/close thresholds, which results in bias thresholds and less converged trades. We derive the asymptotic mean around which the portfolio value oscillates. Revised open/close thresholds determined by our asymptotic mean and standard derivations significantly improve PTS performance. The derivations of asymptotic means can be extended to construct a convergence rate filter mechanism to remove stock pairs that are unlikely to be profitable from trading to further reduce trading risks. Moreover, the PTS literature oversimplifies the joint problem of examining a stock pair’s cointegration property and selecting the fittest vector error correction model (VECM). We propose a two-step model selection procedure to determine the cointegration rank and the fittest VECM via the trace and likelihood ratio tests. We also derive an approximate simple integral trading volume ratio to meet no-odd-lot trading constraints. Experiments from Yuanta/P-shares Taiwan Top 50 Exchange Traded Fund and Yuanta/P-shares Taiwan Mid-Cap 100 Exchange Traded Fund constituent stock tick-by-tick backtesting during 2015–2018 show remarkable improvements by adopting our approaches.

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Examination of Bitcoin Hedging, Diversification and Safe-Haven Ability During Financial Crisis: Evidence from Equity, Bonds, Precious Metals and Exchange Rate Markets

Ullah,

Sohag,

Doroshenko

et al. 2024

Comput Econ

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Optimization of Asset Allocation and Liquidation Time in Investment Decisions with VaR as a Risk Measure

Cited by 3 publications

References 25 publications

Efficiency Assessment of Mutual Fund With Risk and Negative Data: An Improved Two‐Stage Network SBM Model

Efficiency Assessment of Mutual Fund With Risk and Negative Data: An Improved Two‐Stage Network SBM Model

Improving Cointegration-Based Pairs Trading Strategy with Asymptotic Analyses and Convergence Rate Filters

Examination of Bitcoin Hedging, Diversification and Safe-Haven Ability During Financial Crisis: Evidence from Equity, Bonds, Precious Metals and Exchange Rate Markets

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