Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/13263
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dc.titleA pair-wise framework for country asset allocation using similarity ratio
dc.contributor.authorTAY SWEE YUAN
dc.date.accessioned2010-04-08T10:31:27Z
dc.date.available2010-04-08T10:31:27Z
dc.date.issued2008-06-05
dc.identifier.citationTAY SWEE YUAN (2008-06-05). A pair-wise framework for country asset allocation using similarity ratio. ScholarBank@NUS Repository.
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/13263
dc.description.abstractWe 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.isoen
dc.subjectPair-wise Strategy, Similarity Ratio, Asset Allocation, Distance-based Measures, Quantitative Portfolio Management
dc.typeThesis
dc.contributor.departmentMATHEMATICS
dc.contributor.supervisorNG KAH HWA
dc.description.degreeMaster's
dc.description.degreeconferredMASTER OF SCIENCE
dc.identifier.isiutNOT_IN_WOS
Appears in Collections:Master's Theses (Open)

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