Waseda Organizational and Financial Economics Seminar:
“Volatility reduction and return consistency in a multi-asset framework” (4/8)
講演者 / Speaker
AGRRAWAL, Pankaj （Associate Professor, University of Maine）
- 研究分野 関心領域
Investments, Portfolio Management, Corporate Finance, Financial Markets, Empirical Topics in Finance, Corporate Governance, Computational Finance
日 時 / Date & Time
2019年4月8日（月） 13:00～14:30
会 場 / Venue
早稲田大学 早稲田キャンパス 11号館 11階 1111教室
主 旨 / Outline
“Volatility reduction and return consistency in a multi-asset framework”
This talk is partly based on my JII, 2013 paper, that identifies a set of readily available assets, in the form of highly liquid multiple asset class ETFs, that extend diversification beyond plain-vanilla multiple equity holdings, and also beyond the traditional 60/40 Equity-Bond mix (Multi Asset Investing). A 1/n equal weighted asset portfolio delivers most of the efficiency gains (in the risk return space) as compared to the Markowitz mean-variance optimized portfolio (which is also identified in the paper). Tests show that a MAC (multi-asset class) diversified portfolio performed well in mean-variance space and under varying market phases. To abstract from hindsight bias, a 1/N equal-weighted portfolio was constructed and tested, consistent with literature (DeMiguel, Garlappi and Uppal [2009]). The portfolio had a 32% decline in market beta with an annualized return of 8% over the 2004-2019 period. A scalar construct of overall dependencies called Generalized Variance is used as a measure of the spread within the covariance matrix. It condenses the N(N-1)/2 off-diagonal elements of the V-C matrix into a single scalar element. The Gibbons-Ross-Shanken [1989] GRS-W statistic is applied to test for portfolio efficiencies. Portfolio performance is updated to March 2019. This research was recently featured in the New York Times on Jan 11th, 2019. Additionally, it is shown that the Nikkei index has increased volatility when higher moments and serial correlation are factored in.
プログラム / Schedule
13:00～13:05 開会の挨拶（宮島 英昭 早稲田大学高等研究所 顧問 ／ 商学学術院 教授）
13:05～14:05 講演
14:05～14:25 質疑応答
14:25～14:30 閉会の挨拶（宮島 英昭）
対 象 / Prospected Audience
学部生・大学院生・教職員・一般
主 催 / Organizer
早稲田大学 産業経営研究所
早稲田大学 高等研究所
申込み / Registration
事前申込み不要です。直接会場にお越しください。
