Macroeconometric Models for Portfolio Management

Jeremy Kwok

in Vernon Press Titles in Economics from Vernon Art and Science Inc

Abstract: ‘Macroeconometric Models for Portfolio Management’ begins by outlining a portfolio management framework into which macroeconometric models and backtesting investment strategies are integrated. It is followed by a discussion on the theoretical backgrounds of both small and global large macroeconometric models, including data selection, estimation, and applications. Other practical concerns essential to managing a portfolio with decisions driven by macro models are also covered model validation, forecast combination, and evaluation. The author then focuses on applying these models and their results on managing the portfolio, including making trading rules and asset allocation across different assets and risk management. The book finishes by showing portfolio examples where different investment strategies are used and illustrate how the framework can be applied from the beginning of collecting data, model estimation, and generating forecasts to how to manage portfolios accordingly. This book aims to bridge the gap between academia and practising professionals. Readers will attain a rigorous understanding of the theory and how to apply these models to their portfolios. Therefore, ‘Macroeconometric Models for Portfolio Management’ will be of interest to academics and scholars working in macroeconomics and finance; to industry professionals working in financial economics and asset management; to asset managers and investors who prefer systematic investing over discretionary investing; and to investors who have a strong interest in macroeconomic influences on their portfolio.

Keywords: Econometric models; forecasting models; global economy models; asset allocation; portfolio management; systematic trading; quantitative investing; DSGE models; GVAR models; large scale models; time-series models (search for similar items in EconPapers)
Date: 2021 Written 2019-11-06
Edition: 1
ISBN: 978-1-62273-884-7
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:vpr:ecbook:947

Ordering information: This item can be ordered from
https://vernonpress.com/book/947

Access Statistics for this book

More books in Vernon Press Titles in Economics from Vernon Art and Science Inc 1000 N West Street, Suite 1200.
Bibliographic data for series maintained by Elias Krontiris ().