Mean-Semivariance Analysis of Option-Based Strategies: A Total Asset Mix Perspective

Marmer, Harry S.; Ng, F.K. Louis

doi:10.2469/faj.v49.n3.47

Cited by 16 publications

(2 citation statements)

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“…In turn, both measures differ from each other if returns are asymmetrically distributed or a household's target return does not coincide with the portfolio mean (see e.g. Ang and Chua, 1979; Harlow and Rao, 1989; Harlow, 1991; Marmer and Ng, 1993; Grootveld and Hallerbach, 1999; Jarrow and Zhao, 2006).…”

Section: Methodsmentioning

confidence: 99%

Can downside-risk measures help to explain the reluctance of households to invest in XTFs? An empirical study using the SHS-base

Wanger

Oehler

2022

RBF

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PurposeThe purpose of this paper is to investigate whether downside-risk measures help to explain why households largely refrain from investing in Exchange Traded Funds that replicate broad and internationally diversified market indices, so-called XTFs, although studies frequently recommend to do so.Design/methodology/approachThe paper analyzes whether evaluating risk in terms of downside-risk measures which reflect households' interpretation of risk closer than the standard deviation (SD) of returns, yields less risk-return-enhancements, and thus, fewer incentives for households to invest in XTFs. Household portfolios are compiled by combining stylized portfolio compositions that involve multiple asset classes and German households' security holdings. The data set covers the period from January 2014 to December 2016 and includes 47,388 securities.FindingsThe results indicate that none of the downside-risk measures can help to explain the reluctance of households to invest in XTFs. On the flip side, the results show that all stylized household portfolios can enhance the risk-return position from employing XTFs, regardless of the underlying risk measure. This supports the advice to invest in XTFs and extends it upon households that evaluate risk in terms of downside-risk.Originality/valueTo the best of the authors' knowledge, this study is the first to investigate risk-return-enhancements from XTFs while simultaneously considering various downside-risk measures and multiple asset classes of household portfolios.

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Section: Methodsmentioning

confidence: 99%

Can downside-risk measures help to explain the reluctance of households to invest in XTFs? An empirical study using the SHS-base

Wanger

Oehler

2022

RBF

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“…Revista de Econometria 17 (2) Novembro 1997 Duarte (1997), Harlow (1993), Lewis (1990) and Marmer & Ng (1993)). Finally, it can be verified that for certain modeling hy potheses, the framework proposed in this work can capture the MV framework as a particular case.…”

Section: Antonio Marcos Duarte J Liniormentioning

confidence: 99%

A Framework for the Active Management of a Global Currency Fund

Júnior

1997

Brazilian Review of Econometrics

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We consider the problem of optimally managing an investment fund by tak ing positions in spot and derivatives foreign exchange markets. The framework proposed combines scenario analysis and downside risk to provide an optimiza tion model more realistic and conceptually superior when compared to previous currency works based on the Markowitz's Mean-Variance framework. A histori cal simulation covering three years, and involving eleven currencies, is presented to illustrate the potential of the framework. Extensions to cover multiperiod investment analysis are also discussed. ResumoConsideramos 0 problema de administrar urn fundo de investimentos no mercado de cambia mundial. A nossa pro posta combina analise de cenarios e medidas assimetricas de risco de forma a obter urn modelo de otimizagao mais realista e conceitualmente superior quando comparado a trabalhos anteriares que se basearam na analise Media-Variancia de Markowitz. Uma simulagao hist6rica cobrindo tres anos, e envolvenda anze moedas, e apresentada para ilustrar 0 po tencial da metadologia. Extensoes para investimentas multi-periodo sao forneci das tambem.

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Hedge Funds

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Mean-Semivariance Analysis of Option-Based Strategies: A Total Asset Mix Perspective

Cited by 16 publications

References 1 publication

Can downside-risk measures help to explain the reluctance of households to invest in XTFs? An empirical study using the SHS-base

Can downside-risk measures help to explain the reluctance of households to invest in XTFs? An empirical study using the SHS-base

A Framework for the Active Management of a Global Currency Fund

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