Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation

Article Abstract:

An extensive simulation comparison of popular dynamic strategies of asset allocation is made. In addition, alternative measures are calculated for risk, return, and risk-adjusted performance for each strategy, which shows a dominant role of constant proportion strategies in bear and no-trend markets and preference for benchmarking strategies in bull markets.

Analysis, Bull market, Portfolio insurance

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Innovations, improvements, and the optimal adoption of new technologies

Article Abstract:

A distinction between technological breakthroughs and the engineering refinements extends the literature on technology adoption. The possibility of further improvements gives a firm an incentive to delay the adoption of a new technology, until it is sufficiently advanced.

Models, Technological innovations

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Computing currency invariant indices with an application to minimum variance currency baskets

Article Abstract:

An exact and computable invariant currency value index (ICVI) that is independent of base currency is discussed. Comparative analysis of stable aggregate currency (SAC) indicates low volatility and low correlations with its components.

Foreign exchange market, Global economy

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