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Article
Publication date: 10 January 2022

Anja Vinzelberg and Benjamin Rainer Auer

Motivated by the recent theoretical rehabilitation of mean-variance analysis, the authors revisit the question of whether minimum variance (MinVar) or maximum Sharpe ratio (MaxSR…

759

Abstract

Purpose

Motivated by the recent theoretical rehabilitation of mean-variance analysis, the authors revisit the question of whether minimum variance (MinVar) or maximum Sharpe ratio (MaxSR) investment weights are preferable in practical portfolio formation.

Design/methodology/approach

The authors answer this question with a focus on mainstream investors which can be modeled by a preference for simple portfolio optimization techniques, a tendency to cling to past asset characteristics and a strong interest in index products. Specifically, in a rolling-window approach, the study compares the out-of-sample performance of MinVar and MaxSR portfolios in two asset universes covering multiple asset classes (via investable indices and their subindices) and for two popular input estimation methods (full covariance and single-index model).

Findings

The authors find that, regardless of the setting, there is no statistically significant difference between MinVar and MaxSR portfolio performance. Thus, the choice of approach does not matter for mainstream investors. In addition, the analysis reveals that, contrary to previous research, using a single-index model does not necessarily improve out-of-sample Sharpe ratios.

Originality/value

The study is the first to provide an in-depth comparison of MinVar and MaxSR returns which considers (1) multiple asset classes, (2) a single-index model and (3) state-of-the-art bootstrap performance tests.

Details

The Journal of Risk Finance, vol. 23 no. 1
Type: Research Article
ISSN: 1526-5943

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Article
Publication date: 1 April 1974

B.H. Auer

The industrial robot when associated with a workpiece magazine or conveyor system loading and unloading one or more numerical controlled machine tools opens a new way for…

112

Abstract

The industrial robot when associated with a workpiece magazine or conveyor system loading and unloading one or more numerical controlled machine tools opens a new way for automation in low series production. The possibilities for automatic handling together with machine tools within direct numerical controlled systems are discussed. After dealing with the master control selection and the signal flow some limitations resulting from the robot's kinematics are pointed out. Afterwards an actual manufacturing system, installed at the Berlin University, is introduced.

Details

Industrial Robot: An International Journal, vol. 1 no. 4
Type: Research Article
ISSN: 0143-991X

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Article
Publication date: 13 October 2022

Pablo Durán Santomil, Pablo Crisanto Lombardero Fernández and Luis Otero González

The purpose of this study is to evaluate whether the classification of the equity mutual fund depends on the performance measure used.

254

Abstract

Purpose

The purpose of this study is to evaluate whether the classification of the equity mutual fund depends on the performance measure used.

Design/methodology/approach

The sample for this study includes stock mutual funds for the USA, Europe and emerging market economies covering the period 2010 to 2020. Using more than 20 performance measures the results are compared using the Sharpe ratio as the reference.

Findings

The results show that performance measures based on absolute reward–risk ratios like Sortino, Treynor, etc. have similar rankings, because in general the numerator (mean excess return) is the same. However, when the authors employ other types of performance measures, results may be significantly different, especially in the case of metrics for “incremental returns”, i.e. alphas. Focussing on markets, their results show that choosing performance measures is more relevant for emerging markets.

Research limitations/implications

The sample is only limited to the USA, Europe and the emerging market, and there are other performance metrics in the literature which have not been covered in this work.

Practical implications

The ordering of equity mutual funds depends on the measure used, specially if investors employ factor models to measure excess returns (alphas). Hence, policy formulation on disclosure of mutual fund performance should encourage the use of several metrics from different families. Investors must be aware of the different rankings made and the most appropriate metrics based on their preferences.

Originality/value

This paper focusses specifically on the effect that performance metrics have on relative fund performance. Previous studies have ignored alpha metrics to rank funds, which are commonly employed by investors. The authors’ study performs an analysis for three different markets considering the two main developed ones (the American and European equity markets), as well as the emerging one, largely ignored until now.

Details

International Journal of Emerging Markets, vol. 19 no. 7
Type: Research Article
ISSN: 1746-8809

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Article
Publication date: 23 April 2020

Hanxiong Zhang and Andrew Urquhart

Motivated by the debate on the patterns and sources of commodity futures returns, this paper investigates the performance of three investment trading strategies, namely, the…

280

Abstract

Purpose

Motivated by the debate on the patterns and sources of commodity futures returns, this paper investigates the performance of three investment trading strategies, namely, the momentum strategy of Jegadeesh and Titman (1993), the 52-week high momentum strategy of George and Hwang (2004) and the pairs trading strategy of Gatev et al. (2006) in the commodity futures market.

Design/methodology/approach

The three strategies are those given by Jegadeesh and Titman (1993), George and Hwang (2004) and Gatev et al. (2006), respectively.

Findings

The authors find that there is no significant reversal profit across 189 formation-holding windows for all the three strategies. However, there are statistical and economically significant momentum profits, and the profitability increases with the rising of formation-holding periods. Momentum returns are quite sensitive to market conditions but the crash of momentum returns is partly predictable. Return seasonality, risk and herding also provide partial explanation of the momentum profits.

Originality/value

The authors are the first to compare the performances of the pairs trading strategy of Gatev et al. (2006), the conventional momentum of Jegadeesh and Titman (1993), and the 52-week high momentum of George and Hwang (2004) under 189 formation-holding windows. Also, the authors are the first to investigate the association between herding behaviour and momentum returns in the commodity futures market.

Details

Review of Behavioral Finance, vol. 12 no. 4
Type: Research Article
ISSN: 1940-5979

Keywords

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Article
Publication date: 16 October 2020

Julia S. Mehlitz and Benjamin R. Auer

Motivated by the growing importance of the expected shortfall in banking and finance, this study aims to compare the performance of popular non-parametric estimators of the…

206

Abstract

Purpose

Motivated by the growing importance of the expected shortfall in banking and finance, this study aims to compare the performance of popular non-parametric estimators of the expected shortfall (i.e. different variants of historical, outlier-adjusted and kernel methods) to each other, selected parametric benchmarks and estimates based on the idea of forecast combination.

Design/methodology/approach

Within a multidimensional simulation setup (spanned by different distributional settings, sample sizes and confidence levels), the authors rank the estimators based on classic error measures, as well as an innovative performance profile technique, which the authors adapt from the mathematical programming literature.

Findings

The rich set of results supports academics and practitioners in the search for an answer to the question of which estimators are preferable under which circumstances. This is because no estimator or combination of estimators ranks first in all considered settings.

Originality/value

To the best of their knowledge, the authors are the first to provide a structured simulation-based comparison of non-parametric expected shortfall estimators, study the effects of estimator averaging and apply the mentioned profiling technique in risk management.

Details

The Journal of Risk Finance, vol. 21 no. 4
Type: Research Article
ISSN: 1526-5943

Keywords

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Article
Publication date: 29 January 2024

Wanlin Chen and Joseph Lai

Proper performance assessment of residential building renovation is crucial to sustainable urban development. However, a comprehensive review of the literature in this research…

359

Abstract

Purpose

Proper performance assessment of residential building renovation is crucial to sustainable urban development. However, a comprehensive review of the literature in this research domain is lacking. This study aims to uncover the study trend, research hotspots, prominent contributors, research gaps and directions in this field.

Design/methodology/approach

With a hybrid review approach adopted, relevant literature was examined in three stages. In Stage 1, literature retrieved from Scopus was screened for their relevance to the study topic. In Stage 2, bibliographic data of the shortlisted literature underwent scientometric analyses by the VOSviewer software. Finally, an in-depth qualitative review was made on the key literature.

Findings

The research hotspots in performance assessment of residential building renovation were found: energy efficiency, sustainability, thermal comfort and life cycle assessment. After the qualitative review, the following research gaps and future directions were unveiled: (1) assessments of retrofits incorporating renewable energy and energy storage systems; (2) evaluation of policy options and financial incentives to overcome financial constraints; (3) establishment of reliable embodied energy and carbon datasets; (4) indoor environment assessment concerning requirements of COVID-19 prevention and involvement of water quality, acoustic insulation and daylighting indicators; and (5) holistic decision-making model concerning residents' intentions and safety, health, well-being and social indicators.

Originality/value

Pioneered in providing the first comprehensive picture of the assessment studies on residential building renovations, this study contributes to offering directions for future studies and insights conducive to making rational decisions for residential building renovations.

Details

Smart and Sustainable Built Environment, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2046-6099

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Article
Publication date: 19 August 2021

Hendrik Kohrs, Benjamin Rainer Auer and Frank Schuhmacher

In short-term forecasting of day-ahead electricity prices, incorporating intraday dependencies is vital for accurate predictions. However, it quickly leads to dimensionality…

155

Abstract

Purpose

In short-term forecasting of day-ahead electricity prices, incorporating intraday dependencies is vital for accurate predictions. However, it quickly leads to dimensionality problems, i.e. ill-defined models with too many parameters, which require an adequate remedy. This study addresses this issue.

Design/methodology/approach

In an application for the German/Austrian market, this study derives variable importance scores from a random forest algorithm, feeds the identified variables into a support vector machine and compares the resulting forecasting technique to other approaches (such as dynamic factor models, penalized regressions or Bayesian shrinkage) that are commonly used to resolve dimensionality problems.

Findings

This study develops full importance profiles stating which hours of which past days have the highest predictive power for specific hours in the future. Using the profile information in the forecasting setup leads to very promising results compared to the alternatives. Furthermore, the importance profiles provide a possible explanation why some forecasting methods are more accurate for certain hours of the day than others. They also help to explain why simple forecast combination schemes tend to outperform the full battery of models considered in the comprehensive comparative study.

Originality/value

With the information contained in the variable importance scores and the results of the extensive model comparison, this study essentially provides guidelines for variable and model selection in future electricity market research.

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Book part
Publication date: 9 April 2019

Barrie Gunter

Abstract

Details

Gambling Advertising: Nature, Effects and Regulation
Type: Book
ISBN: 978-1-78769-923-6

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Book part
Publication date: 7 September 2023

Martin Götz and Ernest H. O’Boyle

The overall goal of science is to build a valid and reliable body of knowledge about the functioning of the world and how applying that knowledge can change it. As personnel and…

Abstract

The overall goal of science is to build a valid and reliable body of knowledge about the functioning of the world and how applying that knowledge can change it. As personnel and human resources management researchers, we aim to contribute to the respective bodies of knowledge to provide both employers and employees with a workable foundation to help with those problems they are confronted with. However, what research on research has consistently demonstrated is that the scientific endeavor possesses existential issues including a substantial lack of (a) solid theory, (b) replicability, (c) reproducibility, (d) proper and generalizable samples, (e) sufficient quality control (i.e., peer review), (f) robust and trustworthy statistical results, (g) availability of research, and (h) sufficient practical implications. In this chapter, we first sing a song of sorrow regarding the current state of the social sciences in general and personnel and human resources management specifically. Then, we investigate potential grievances that might have led to it (i.e., questionable research practices, misplaced incentives), only to end with a verse of hope by outlining an avenue for betterment (i.e., open science and policy changes at multiple levels).

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Book part
Publication date: 15 December 2016

Tracy A. Thompson and Jill M. Purdy

Institutional complexity shapes what is perceived as possible by framing cultural debates about practices, but organizations in turn shape how logics interpenetrate fields…

Abstract

Institutional complexity shapes what is perceived as possible by framing cultural debates about practices, but organizations in turn shape how logics interpenetrate fields, suggesting that we must consider both the degree of compatibility between logics and the degree of practice variation in a field. Our exploratory study of three entrepreneurial impact finance organizations considers how they situate their practices between the market and community logics. We offer a recursive view that considers how multiple institutional logics shape practices and how entrepreneurial organizations adapt and invent new practices that, through their continued use, can influence the institutional complexity of a field.

Details

How Institutions Matter!
Type: Book
ISBN: 978-1-78635-429-7

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