Up Next

ki-logo-white
Market-Based Solutions to Vital Economic Issues

SEARCH

ki-logo-white
Market-Based Solutions to Vital Economic Issues

portfolio analysis

SHOW ME:

To characterize ambiguity we use machine learning to impose guidance and discipline on the formulation of expectations in a data-rich environment. In addition, we use the bootstrap to generate plausible synthetic samples of data not seen in historical real data to create statistics of interest pertaining to uncertainty. While our approach is generic we focus on robust portfolio allocation problems as an application and study the impact of risk versus uncertainty in a dynamic mean-variance setting. We show that a mean-variance optimizing investor achieves economically meaningful wealth gains (33%) across our sample from 1996-2019 by internalizing our uncertainty measure during portfolio formation.

With consumer prices rising for a third straight month in June, consumer demand continuing to outstrip supply and stock valuations well above long-term averages, our experts explore whether the so-called “everything bubble” of asset prices could be set to burst – and examine what’s next for investors and firms.

Cryptocurrency has its critics, but it’s becoming an increasingly mainstream option for retail and institutional investors alike. In this Kenan Insight, we share some thoughts from former Co-president of Morgan Stanley Zoe Cruz and Rethinc. Labs Faculty Director Eric Ghysels on whether crypto has reached a tipping point for adoption by individual investors.

Many providers of defined-contribution investment plans, such as 401(k) plans, have advocated for broader access to private investments. In this Kenan Insight, we examine the operating, regulatory and legal constraints involved in allowing that access, and explore what, if anything, retail investors are likely to gain from investing in private funds.

UNC Kenan-Flagler Business School Professor and Institute for Private Capital Executive Director Shawn Munday sits down virtually with Kenan Institute Executive Director Greg Brown to explain all the buzz around Special Purpose Acquisition Corporation, commonly known as SPACs.

Retail and institutional investors often follow simple rules, like a 60/40 mix of stocks and bonds. But this common approach to investments is being challenged these days by the combination of near-zero interest rates, uncertainty due to COVID-19 and stocks reaching historically high valuations. Many investors are now looking beyond the traditional array of assets to consider the value-add of alternative asset classes, including digital holdings such as cryptocurrencies.

Rehtinc. Labs hosted Román Orús, Ikerbasque Research Professor at the Donostia International Physics Center in San Sebastián, Spain. Roman presented the findings from his research on determining the optimal trading trajectory for an investment portfolio of assets over a period of time. Dynamic portfolio optimization is well known to be NP-Hard and is central to quantitative finance.

Román Orús, Ikerbasque Research Professor at the Donostia International Physics Center in San Sebastián, Spain, will present the findings from his research on determining the optimal trading trajectory for an investment portfolio of assets over a period of time. Dynamic portfolio optimization is well known to be NP-Hard and is central to quantitative finance.

Join Strategic Advisor to the CEO of Ripple and former Co-President of Morgan Stanley Zoe Cruz as she discusses the impact of adding cryptocurrencies to a traditional portfolio.

The COVID-19 financial downturn will have short- and long-term effects on personal and consumer finance, as explored by a panel of Kenan Institute-convened experts during a press briefing held yesterday. The full recording of this briefing—along with a deeper-dive analysis on the specific implications of the downturn on personal retirement income by Kenan Institute Executive Director Greg Brown, is available in this week’s Kenan Insight.