Essays in investments and asset allocation
1 online resource (191 pages) : PDF
University of North Carolina at Charlotte
This dissertation consists of three topics in investments and asset allocation. The first chapter studies the dynamics of macro factors and their application in asset allocation. Five meaningful economic factors are extracted from hundreds of economic series and dynamic structural models are constructed and estimated by using Bayesian techniques in conjunction with MCMC sampler. We find that these macro factors are able to capture important economic trends and systematic components of equity return variation and shed a light on the evolution of macro economy. Furthermore, the dynamic asset allocation based on macro factors could produce significant systematically out-of-sample economic gains. In addition, these macro factors could serve as the transmission channels of monetary policy so that investors could incorporate their views into portfolio construction and test the effects on various scenarios from a forward-looking perspective. Moreover, the impulse response analysis reveals appealing indications of the trajectories of asset future returns under monetary policy shocks, which could be informative and valuable for both central bankers and practical investors.Consistent financial performance is the key element to success in asset management. In chapter 2, we construct a dynamic wealth constraint to represent the consistent performance, which takes into account the entire historical records as a benchmark. A general optimal policy is characterized so that the wealth could always stay at or above this benchmark and a closed-form solution is obtained for a special case. Several implications are also discussed and it is recommended that this consistent performance constraint could be an appealing tool to be implemented in a volatile market. We further investigate its practical implications in chapter 3 and demonstrate that the portfolio wealth under this consistent performance strategy could exhibit an upward trend over time and has several remarkable features, such as capital-protection and low volatility which could make it valuable to practical investors.
Consistent PerformanceDynamic Asset AllocationEquity PremiumInvestmentsMacroMonetary Policy
Clark, StevenKirby, ChrisJiang, Jiancheng
Thesis (Ph.D.)--University of North Carolina at Charlotte, 2016.
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