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G17

Financial Forecasting and Simulation

Estimating a time-varying financial conditions index for South Africa?

Alain Kabundi and Asi Mbelu
This paper uses 39 monthly time series of the financial market observed from January 2000 to April 2017 to estimate a financial conditions index (FCI) for South Africa. The empirical technique used is a dynamic factor model with time-varying factor loadings proposed by Koop and Korobilis (2014)...
Nov 2017
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Capturing the Black Swan: Scenario-Based Asset Allocation with Fat Tails and Non-Linear Correlations

Vsevolod I Gorlach
This paper highlights the shortfalls of Modern Portfolio Theory (MPT). Amongst other flaws, MPT assumes that returns are normally distributed; that correlations are linear; and that risks are symmetrical. We propose a dynamic and flexible scenario-based approach to portfolio selection that...
Aug 2017
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