Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Managing Portfolio Over the Business cycle |
| Organization Unit | |
| Authors |
|
| Supervisors |
|
| Language |
|
| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Date | 2018 |
| Abstract Text | This paper analyses long-term portfolio management decisions in the presence of regime switches in asset returns with stochastic trading costs. The underlying assets are represented by a market portfolio and factor portfolios tracking size, value, pro tability, and investment e ects. First, consistent with the literature, this paper also nds strong evidence of time-variations in the joint distribution of returns with respect to the underlying factor portfolios. Two separate regimes, characterized mainly by volatility in asset returns, are required to capture the dynamics. Second, by adopting a dynamic optimal asset allocation strategy the hedging properties of factor portfolios are found to vary signi cantly across regimes. Nevertheless, out-of-sample forecasting experiments show the economic importance of market timing in asset allocation decisions. |
| Export |
BibTeX
|