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https://scholarbank.nus.edu.sg/handle/10635/13263
DC Field | Value | |
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dc.title | A pair-wise framework for country asset allocation using similarity ratio | |
dc.contributor.author | TAY SWEE YUAN | |
dc.date.accessioned | 2010-04-08T10:31:27Z | |
dc.date.available | 2010-04-08T10:31:27Z | |
dc.date.issued | 2008-06-05 | |
dc.identifier.citation | TAY SWEE YUAN (2008-06-05). A pair-wise framework for country asset allocation using similarity ratio. ScholarBank@NUS Repository. | |
dc.identifier.uri | http://scholarbank.nus.edu.sg/handle/10635/13263 | |
dc.description.abstract | We propose a pair-wise strategy to construct country allocation portfolios, based on relative returns forecasts of all asset pairs in the investment universe. As the number of forecasts required is a small fraction of the total number of forecasts generated, it means a good measure of quality would be required to select the best set of forecasts.There is a lack of research and effort in designing a scoring measure that aims to quantify the model quality in terms of directional accuracy. We designed a new distance-based measure called the Similarity Ratio. This measure is innovative, intuitive and emphasizes on directional accuracy and yet able to make use of the magnitudes of the forecasts as tie-breaker. We provide extensive empirical evidences by constructing various country allocation portfolios using the pair-wise framework and Similarity Ratio. The portfolios delivered better risk-adjusted performance than top quartile managers and portfolios constructed using other measures. | |
dc.language.iso | en | |
dc.subject | Pair-wise Strategy, Similarity Ratio, Asset Allocation, Distance-based Measures, Quantitative Portfolio Management | |
dc.type | Thesis | |
dc.contributor.department | MATHEMATICS | |
dc.contributor.supervisor | NG KAH HWA | |
dc.description.degree | Master's | |
dc.description.degreeconferred | MASTER OF SCIENCE | |
dc.identifier.isiut | NOT_IN_WOS | |
Appears in Collections: | Master's Theses (Open) |
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A Pair-wise Framework for Country Asset Allocation using Similarity Ratio.pdf | 964.88 kB | Adobe PDF | OPEN | None | View/Download |
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