- Tytuł:
- How to fly to safety without overpaying for the ticket
- Autorzy:
-
Kaczmarek, Tomasz
Grobelny, Przemysław - Powiązania:
- https://bibliotekanauki.pl/articles/9252090.pdf
- Data publikacji:
- 2023-07-19
- Wydawca:
- Uniwersytet Ekonomiczny w Poznaniu
- Tematy:
-
asset allocation strategy
target volatility
flight-to-safety
recurrent neural networks
machine learning - Opis:
- For most active investors treasury bonds (govs) provide diversification and thus reduce the risk of a portfolio. These features of govs become particularly desirable in times of elevated risk which materialize in the form of the flight-to-safety (FTS) phenomenon. The FTS for govs provides a shelter during market turbulence and is exceptionally beneficial for portfolio drawdown risk reduction. However what if the unsatisfactory expected return from treasuries discourages higher bonds allocations? This research proposes a solution to this problem with Deep Target Volatility Equity-Bond Allocation (DTVEBA) that dynamically allocate portfolios between equity and treasuries.
- Źródło:
-
Economics and Business Review; 2023, 9, 2; 160-183
2392-1641 - Pojawia się w:
- Economics and Business Review
- Dostawca treści:
- Biblioteka Nauki
Artykuł