scholarly journals Diversification of equity investment portfolios. Application to the IBEX 35

2021 ◽  
Vol 7 (2) ◽  
pp. 38-59
Author(s):  
Gema Orihuel Bañuls
Keyword(s):  
Stock Market ◽  
Systematic Risk ◽  
Total Risk ◽  
Investment Portfolio ◽  
Equity Investment ◽  
Time Periods ◽  
The Stability ◽  
Investment Portfolios ◽  
Portfolio Size ◽  
Over Time

At present, there is no unanimity on the effects that stock diversification can have on the total risk of an investment portfolio. In this context, this paper studies some issues related to the evolution of risk in an investment portfolio made up of IBEX 35 stocks. In addition, it is tested whether conclusions drawn for other time periods and in other markets are applicable to the Spanish stock market. The methodology used consists of calculating how the two components that make up the total risk of a portfolio (systematic risk and unsystematic risk) behave as portfolios of increasing size are diversified. The study shows how an increase in the number of securities in the investment portfolio decreases the percentage corresponding to the unsystematic risk component and increases the systematic risk component. Furthermore, it also shows that the benefits of diversification become increasingly marginal as portfolio size increases. Additionally, it is shown that an increase in the number of securities also increases the stability of the Beta of the investment portfolios over time.

scholarly journals Emerging Equity Markets: To Invest Or Not To Invest?

2011 ◽  
Vol 22 (1) ◽  
Author(s):  
Xavier Garza-Gómez ◽  
Massoud Metghalchi
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
Equity Markets ◽  
Portfolio Performance ◽  
Specific Time ◽  
Ex Post ◽  
Time Periods ◽  
The U.S ◽  
Over Time

Numerous studies suggest that investors diversifying their portfolios with equity of emerging markets benefit from increased returns and/or reduced volatility. Using a 16-year sample from 1988 to 2003, we test this assertion and find that ex-post benefits to U.S. investors in this period are small. Our tests show that the improvement in portfolio performance is not consistent through time, and it is statistically significant only when we restrict our analysis to some regions and/or specific time periods. We find that the lack of significant gains of diversifying into emerging markets is caused by problems with the two main sources of diversification benefits: contrary to expectations, emerging markets have low relative realized returns and their correlation with the U.S. stock market has increased over time.

scholarly journals Testing the Stability of Beta: A Sectoral Analysis in Turkish Stock Market

2013 ◽  
Vol 5 (1) ◽  
pp. 18-23 ◽  
Author(s):  
Sibel Celik
Keyword(s):  
Stock Market ◽  
Structural Breaks ◽  
Systematic Risk ◽  
Global Crisis ◽  
Regression Methods ◽  
Sectoral Analysis ◽  
Turkish Literature ◽  
The Stability ◽  
Rolling Regression ◽  
The Impact

The paper aims to test the stability of sector betas (systematic risk) in Turkish Stock Market for the period 03.01.2005-31.12.2009. We use rolling regression and recursive regression methods to test the stability of beta and two sub-samples to examine the impact of structural breaks on the beta behaviour, considering the 2007-2009 Global crisis. The findings support the instability of beta for most of the sectors and the results are robust when taking into account structural breaks. The paper is different from other studies in the Turkish literature because it uses different methodology, takes into account the crisis effect and focuses on the all sector betas.

On the Robustness of Solution Strategy Classifications

2010 ◽  
Vol 31 (2) ◽  
pp. 68-73 ◽  
Author(s):  
María José Contreras ◽  
Víctor J. Rubio ◽  
Daniel Peña ◽  
José Santacreu
Keyword(s):  
Individual Differences ◽  
Study Strategies ◽  
Solution Strategy ◽  
Specific Test ◽  
Spatial Tasks ◽  
The Stability ◽  
Strategy Changes ◽  
Over Time

Individual differences in performance when solving spatial tasks can be partly explained by differences in the strategies used. Two main difficulties arise when studying such strategies: the identification of the strategy itself and the stability of the strategy over time. In the present study strategies were separated into three categories: segmented (analytic), holistic-feedback dependent, and holistic-planned, according to the procedure described by Peña, Contreras, Shih, and Santacreu (2008) . A group of individuals were evaluated twice on a 1-year test-retest basis. During the 1-year interval between tests, the participants were not able to prepare for the specific test used in this study or similar ones. It was found that 60% of the individuals kept the same strategy throughout the tests. When strategy changes did occur, they were usually due to a better strategy. These results prove the robustness of using strategy-based procedures for studying individual differences in spatial tasks.

On the Stability of Evaluative Conditioning Effects

2013 ◽  
Vol 44 (6) ◽  
pp. 380-389 ◽  
Author(s):  
Sabine Förderer ◽  
Christian Unkelbach
Keyword(s):  
Evaluative Conditioning ◽  
Indirect Measures ◽  
The Stability ◽  
Over Time

Evaluative conditioning (EC) refers to valence changes in neutral stimuli (CSs) through repeated pairing with liked or disliked stimuli (USs). The present study examined the stability of EC effects in the course of 1 week. We investigated how this stability depends on memory for US valence and US identity. We also investigated whether CSs evaluations occurring immediately after conditioning (i.e., evaluative consolidation) are necessary for stable EC effects. Participants showed stable EC effects on direct and indirect measures, independent of evaluations immediately after conditioning. EC effects depended on memory for US valence but not for US identity. And although memory decreased significantly over time, EC effects remained stable. These data suggest that evaluative consolidation is not necessary, and that conditioned preferences and attitudes might persist even when people do not remember the concrete source anymore.

scholarly journals Structured and Systematic Team and Procedure Training in Severe Trauma: Going from ‘Zero to Hero’ for a Time-Critical, Low-Volume Emergency Procedure Over Three Time Periods

2021 ◽  
Vol 45 (5) ◽  
pp. 1340-1348
Author(s):  
Maryam Meshkinfamfard ◽  
Jon Kristian Narvestad ◽  
Johannes Wiik Larsen ◽  
Arezo Kanani ◽  
Jørgen Vennesland ◽  
...  
Keyword(s):  
Injury Severity ◽  
Trauma System ◽  
Severe Trauma ◽  
Emergency Procedure ◽  
Emergency Thoracotomy ◽  
Severity Scores ◽  
Time Periods ◽  
Low Volume ◽  
Time Critical ◽  
Over Time

Abstract Background Resuscitative emergency thoracotomy is a potential life-saving procedure but is rarely performed outside of busy trauma centers. Yet the intervention cannot be deferred nor centralized for critically injured patients presenting in extremis. Low-volume experience may be mitigated by structured training. The aim of this study was to describe concurrent development of training and simulation in a trauma system and associated effect on one time-critical emergency procedure on patient outcome. Methods An observational cohort study split into 3 arbitrary time-phases of trauma system development referred to as ‘early’, ‘developing’ and ‘mature’ time-periods. Core characteristics of the system is described for each phase and concurrent outcomes for all consecutive emergency thoracotomies described with focus on patient characteristics and outcome analyzed for trends in time. Results Over the study period, a total of 36 emergency thoracotomies were performed, of which 5 survived (13.9%). The “early” phase had no survivors (0/10), with 2 of 13 (15%) and 3 of 13 (23%) surviving in the development and mature phase, respectively. A decline in ‘elderly’ (>55 years) patients who had emergency thoracotomy occurred with each time period (from 50%, 31% to 7.7%, respectively). The gender distribution and the injury severity scores on admission remained unchanged, while the rate of patients with signs on life (SOL) increased over time. Conclusion The improvement over time in survival for one time-critical emergency procedure may be attributed to structured implementation of team and procedure training. The findings may be transferred to other low-volume regions for improved trauma care.

scholarly journals OPTIMAL CONTROL OF THE DECUMULATION OF A RETIREMENT PORTFOLIO WITH VARIABLE SPENDING AND DYNAMIC ASSET ALLOCATION

2021 ◽  
pp. 1-34
Author(s):  
Peter A. Forsyth ◽  
Kenneth R. Vetzal ◽  
Graham Westmacott
Keyword(s):  
Asset Allocation ◽  
Asset Returns ◽  
Retirement Savings ◽  
Allocation Strategy ◽  
Investment Portfolio ◽  
Dynamic Asset Allocation ◽  
Dynamic Strategy ◽  
Prior Literature ◽  
Weighted Combination ◽  
Over Time

Abstract We extend the Annually Recalculated Virtual Annuity (ARVA) spending rule for retirement savings decumulation (Waring and Siegel (2015) Financial Analysts Journal, 71(1), 91–107) to include a cap and a floor on withdrawals. With a minimum withdrawal constraint, the ARVA strategy runs the risk of depleting the investment portfolio. We determine the dynamic asset allocation strategy which maximizes a weighted combination of expected total withdrawals (EW) and expected shortfall (ES), defined as the average of the worst 5% of the outcomes of real terminal wealth. We compare the performance of our dynamic strategy to simpler alternatives which maintain constant asset allocation weights over time accompanied by either our same modified ARVA spending rule or withdrawals that are constant over time in real terms. Tests are carried out using both a parametric model of historical asset returns as well as bootstrap resampling of historical data. Consistent with previous literature that has used different measures of reward and risk than EW and ES, we find that allowing some variability in withdrawals leads to large improvements in efficiency. However, unlike the prior literature, we also demonstrate that further significant enhancements are possible through incorporating a dynamic asset allocation strategy rather than simply keeping asset allocation weights constant throughout retirement.

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