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Portfolio Management and Predictability

Author

Listed:
  • Gabriela Victoria ANGHELACHE

    (Bucharest University of Economic Studies)

  • Prof. Vladimir MODRAK

    (Technical University of Košice)

  • Madalina Gabriela ANGHEL

    (“Artifex” University of Bucharest)

  • Marius POPOVICI

    (Bucharest University of Economic Studies)

Abstract

Future developments of states and states of nature of a system are predictable. Portfolio management needs predictability techniques In order to benefit of opportunities. In theory, predictability has no time dimension. Practically, as opportunity is embedded stochastically, there may appear changes of state that are predictable, as in the correlation between returns and stocks. A certain resource reversion might be possible with regard to returns and stock. The predictability of the optimal portfolio management becomes the objective of any investor who follows a flexible strategy based on optimal exposure to risk. Thus, investors will try to anticipate the possible shocks affecting the opportunity set of their investment. More precisely, they will admit the possibility to hedge any bad news concerning the future opportunity set, the so called “myopia” relative to time horizon when predictability is possible. This circumstance is part of the relative risk aversion. We can affirm that predictability has the same effect as a reduction of risk aversion.

Suggested Citation

  • Gabriela Victoria ANGHELACHE & Prof. Vladimir MODRAK & Madalina Gabriela ANGHEL & Marius POPOVICI, 2016. "Portfolio Management and Predictability," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(1), pages 59-63, January.
    • Handle: RePEc:rsr:supplm:v:64:y:2016:i:1:p:59-63
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    References listed on IDEAS

    as
    1. Madalina Gabriela ANGHEL & Georgeta LIXANDRU (BARDASU), 2013. "Classical Models used in the Management of Financial Instruments Portfolio," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 61(3), pages 208-211, September.
    2. Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric, 2013. "Prediction Markets for Economic Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 657-687, Elsevier.
    3. Constantin ANGHELACHE & Mădălina Gabriela ANGHEL, 2014. "Using the regression model for the portfolios analysis and management," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(593)), pages 53-66, April.
    4. Omesh Kini & Shehzad Mian & Michael Rebello & Anand Venkateswaran, 2009. "On the Structure of Analyst Research Portfolios and Forecast Accuracy," Journal of Accounting Research, Wiley Blackwell, vol. 47(4), pages 867-909, September.
    5. repec:agr:journl:v:4(593):y:2014:i:4(593):p:53-66 is not listed on IDEAS
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