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Developments in Forecast Combination and Portfolio Choice

Developments in Forecast Combination and Portfolio Choice

Christian L. Dunis (Editor), Allan Timmermann (Editor), John E. Moody (Editor)

ISBN: 978-0-471-52165-5

Oct 2001

344 pages

Select type: Hardcover

In Stock

$170.00

Description

Developments in Forecast Combination and Portfolio Choice focuses on the following three themes: model and forecast combinations; structural change and long memory, controlling downside risk and investment strategies. Written by leading international researchers and practitioners, his book deals efficiently with three key questions facing portfolio managers. How to achieve greater forecasting accuracy; how to deal with structural change in asset allocation models and how to control downside risk, i.e. the risk of loss, in portfolio management.
Contributors.

About the Contributors.

Series Preface.

Preface

THEME I MODEL AND FORECAST COMBINATIONS

What Exactly Should We Be Optimising? Criterion Risk in Multicomponent and Multimodel Forecasting (A. Neil Burgess).

A Meta-parameter Approach to the Construction of Forecasting Models for Trading Systems (Neville Towers and A. Neil Burgess).

The Use of Market Data and Model Combination to Improve Forecast Accuracy (Christian L. Dunis, Jason Laws and Sté phane Chauvin).

21 Nonlinear Ways to Beat the Market (George T. Albanis and Roy A. Batchelor).

Predcting High Performance Stocks Using Dimensionality Reduction Techniques Based on Neural Networks (George T. Albanis and Roy A. Batchelor).

THEME II STRUCTURAL CHANGE AND LONG MEMEORY

Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates (Michel Beine and Sé bastien Laurent).

Long-run Volatility Dependencies in Intraday Data and Mixture of Normal Distributions (Auré lie Boubel and Sé bastien Laurent).

Comparison of Parameter Esitmation Methods in Cyclical Long Memory Time Series (Laurent Ferrara and Dominique Guegan).

THEME III CONTROLLING DOWNSIDE RISK AND INVESTMENT STRATEGIES

Building a Mean Downside Risk Portfolio Frontier (Gustavo M. de Athayde).

Implementing Discrete-Time Dynamic Investment Strategies with Downside Risk: A Comparison of Returns and Investment Policies (Mattias Persson).

Portfolio Optimisation in a Downside Risk Framework (Riccardo Bramante and Barbara Cazzaniga).

The Three-moment CAPM: Theoretical Foundations and an Asset Pricing Model Comparison in a Unified Framework (Emmanuel Jurczwnko and Bertrand Maillet).

Stress-testing Correlations: An Application to Portfolio Risk Management (Frederick Bourgoin.)

Index.