Revisiting Core-Satellite Investing

Amenc, Noël; Malaise, Philippe; Martellini, Lionel

doi:10.3905/jpm.2004.443322

Cited by 28 publications

(3 citation statements)

References 12 publications

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“…In particular, our findings suggest that investors do not necessarily gain from actively extending passive portfolios. This is important because such core‐satellite strategies are quite popular in the investment industry (see Amenc et al, 2004; Methling & von Nitzsch, 2019; Welch, 2008).…”

Section: Resultsmentioning

confidence: 99%

Unprofitability of food market investments

Vinzelberg

Auer

2022

Manage Decis Econ

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Using more than two decades of disaggregated return data, we provide a comprehensive study of the investment benefits offered by food futures. In addition to comparing them to established passive and active investment vehicles, we investigate whether diversified investors can capitalize on including food futures into their portfolios. Our analysis is conducted within traditional and modern mean‐risk portfolio frameworks (measuring risk in terms of variance and tail size, respectively) supplemented by robust resampling techniques. Reward‐to‐risk investment performance is evaluated out of sample and by means of state‐of‐the‐art bootstrap testing. Overall, we find that food futures neither surpass standalone investments in stock, bond, and nonfood commodity markets nor do they significantly improve optimized multi‐asset portfolios.

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Section: Resultsmentioning

confidence: 99%

Unprofitability of food market investments

Vinzelberg

Auer

2022

Manage Decis Econ

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“…The capacity of country ETFs to enhance international diversification is questioned by Pennathur, Delcoure and Anderson (2002) and Miffre (2004). Amenc, Malaise and Martellini (2004) traded on the Nasdaq InterMarket, regional exchanges and the Island ECN. Tse and Erenburg (2003) focus on QQQQs to investigate to what extent NYSE trading influenced the ETF market quality as measured by liquidity, efficiency and price discovery.…”

Section: More Studies Devoted To Etfsmentioning

confidence: 99%

“…Investors are thus able to achieve superior diversification with ETFs as long as they invest significant amounts. Amenc, Malaise and Martellini (2004) measure the performance of a dynamic core-satellite approach based on fixed-income ETFs. However, ETFs only serve illustrative purposes and no empirical comparison with other investment vehicles is provided.…”

Section: More Studies Devoted To Etfsmentioning

confidence: 99%

Handbook of Financial Engineering

Zopounidis¹,

Doumpos²,

Pardalos³

2008

Springer Optimization and Its Applications

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Aims and ScopeOptimization has been expanding in all directions at an astonishing rate during the last few decades. New algorithmic and theoretical techniques have been developed, the diffusion into other disciplines has proceeded at a rapid pace, and our knowledge of all aspects of the field has grown even more profound. At the same time, one of the most striking trends in optimization is the constantly increasing emphasis on the interdisciplinary nature of the field. Optimization has been a basic tool in all areas of applied mathematics, engineering, medicine, economics and other sciences.The series Optimization and Its Applications publishes undergraduate and graduate textbooks, monographs and state-of-the-art expository works that focus on algorithms for solving optimization problems and also study applications involving such problems. Some of the topics covered include nonlinear optimization (convex and nonconvex), network flow problems, stochastic optimization, optimal control, discrete optimization, multiobjective programming, description of software packages, approximation techniques and heuristic approaches. Technical University of Crete, Chania, Greece © e+Business Media, LLC All rights reserved. This work may not be translated or copied in whole or in part without the written permission of the publisher (Springer Science+Business Media, LLC, 233 Spring Street, New York, connection with any form of information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now know or hereafter developed is forbidden. VOLUME Springer Optimization and Its Applicationsnot identified as such, is not to be taken as an expression of opinion as to whether or not they are subject to proprietary rights. springer.comThe use in this publication of trade names, trademarks, service marks and similar terms, even if they are ISBN: 978-0-387-76681-2 e-ISBN: 978-0-387-76682-9 DOI: 10.1007/978-0-387-76682-9 ISSN: 1931 To our families PrefaceFrom the beginning of the 20th century, finance has consolidated its position as a science of major practical importance for corporate entities, firms, organizations, and investors. Over this period finance has undergone significant change keeping pace with the technological innovations that occurred after the World War II and the socio-economic changes that affected the global business environment. The changes in the field of finance resulted in a transformation of its nature from a descriptive science to an analytic science, involved with the identification of the relationship among financial decisions and the decision environment and ultimately to an engineering science, involved with the design of new financial products and the development of innovations with regard to financial instruments, processes, and solutions.This transformation began in the late 1950s with the work of Markowitz on portfolio selection and later, during the 1970s, with the work of Black and Scholes on option pricing. These pioneering works have demonstrated tha...

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