SSRN Author: Mark KritzmanMark Kritzman SSRN Content
https://www.ssrn.com/author=582588
https://www.ssrn.com/rss/en-usThu, 04 Jul 2019 01:07:18 GMTeditor@ssrn.com (Editor)Thu, 04 Jul 2019 01:07:18 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0REVISION: Enhanced Scenario AnalysisInvestors have long relied on scenario analysis as an alternative to mean-variance analysis to help them construct portfolios. Even though mean-variance analysis accounts for all potential scenarios, many investors find it difficult to implement because it requires them to specify statistical features of asset classes which are often unintuitive and difficult to estimate. Scenario analysis, by contrast, requires only that investors specify a small set of potential outcomes as projections of economic variables and assign probabilities to their occurrence. It is, therefore, more intuitive than mean-variance analysis, but it is highly subjective. The authors propose to replace the subjective elements of scenario analysis with a robust statistical process.
https://www.ssrn.com/abstract=3389977
https://www.ssrn.com/1797897.htmlFri, 14 Jun 2019 22:20:06 GMTNew: Optimal Currency Hedging: Horizon MattersInvestors have long debated what fraction, if any, of their portfolio’s currency exposure they should hedge. Although the answers cover a broad range, often with dubious rationale, most informed investors agree that the solution should be based on mean-variance optimization, deployed either to maximize expected utility for cases in which the investor has non-zero expectations for the mean currency returns, or to minimize risk when the means are assumed to equal 0. This approach presents a serious challenge, however, because it depends on how currencies co-vary with each other and with the underlying portfolio, and these covariances themselves vary significantly with the return interval used to estimate them. The authors show that monthly covariances produce unreliable results for horizons that are longer than one month.
https://www.ssrn.com/abstract=3403759
https://www.ssrn.com/1797722.htmlFri, 14 Jun 2019 11:26:20 GMTREVISION: Enhanced Scenario AnalysisInvestors have long relied on scenario analysis as an alternative to mean-variance analysis to help them construct portfolios. Even though mean-variance analysis accounts for all potential scenarios, many investors find it difficult to implement because it requires them to specify statistical features of asset classes which are often unintuitive and difficult to estimate. Scenario analysis, by contrast, requires only that investors specify a small set of potential outcomes as projections of economic variables and assign probabilities to their occurrence. It is, therefore, more intuitive than mean-variance analysis, but it is highly subjective. The authors propose to replace the subjective elements of scenario analysis with a robust statistical process.
https://www.ssrn.com/abstract=3389977
https://www.ssrn.com/1792985.htmlSun, 02 Jun 2019 00:50:51 GMTREVISION: Enhanced Scenario AnalysisInvestors have long relied on scenario analysis as an alternative to mean-variance analysis to help them construct portfolios. Even though mean-variance analysis accounts for all potential scenarios, many investors find it difficult to implement because it requires them to specify statistical features of asset classes which are often unintuitive and difficult to estimate. Scenario analysis, by contrast, requires only that investors specify a small set of potential outcomes as projections of economic variables and assign probabilities to their occurrence. It is, therefore, more intuitive than mean-variance analysis, but it is highly subjective. The authors propose to replace the subjective elements of scenario analysis with a robust statistical process.
https://www.ssrn.com/abstract=3389977
https://www.ssrn.com/1789417.htmlMon, 20 May 2019 11:24:30 GMT