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Active portfolio management is about leveraging information. The Black and Litterman Global Portfolio Optimisation Model (BL) sets information processing in a Bayesian analytic framework. In this framework, the portfolio manager needs only produce views and the model translates the views into...
This article focuses on the financial globalization of the emerging-market economies (EMEs) and the important differences across country groups in this regard, particularly the relative importance of different types of capital inflows and the pace of financial globalization. That the extent of...
Applying standard value-at-risk (VaR) models to assets with non-normally distributed returns can lead to an underestimation of the true risk. Commodity futures returns are driven by continuous supply and demand shocks that lead to a distinct pattern of time-varying volatility. As a result of...
In the classic Black and Litterman approach, it is possible, using reverse engineering, to obtain the expected asset equilibrium returns implied by the weights of the market portfolio, that is, the benchmark. However, given that analysts may have different views on some of the expected returns...
This article investigates whether the Exchange-Traded Funds (ETFs) trade away from their net asset value (NAV), the relationship between trading activity and the intraday volatility and premiums of ETFs, and how the divergence between the trading and NAV affects future return. Results indicate...
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