Portfolio allocation

Coalitions of political parties are a very common feature of parliamentary systems, as well as a research subject for many studies in political science. In particular, the literature has singled out four main focuses: coalition formation; portfolio allocation; coalition stability and termination; and coalition governance. They may be also conceived as phases of coalitions’ life, respectively, the birth (formation and portfolio allocation), the “existence” in the strict sense of the word and the end. Thinking of them in these terms gives a new perspective for the study of coalition politics. It becomes a continuing process of inter-party interactions inside the context of a (life) cycle in which what an actor does in a certain moment depends both on what has occurred in the past and on the expectations about the future. This paper, by adopting this theoretical framework, gives a broad reasoned and critical review of many theoretical and empirical works concerning the phases of coalition politics. First, the developments of the subfield interested in the factors affecting the composition of the coalitions are taken into account. Subsequently, I focus on the process of portfolio allocation among parties and, thirdly, on the reasons of government terminations and the related topic of government stability. The last part is dedicated to several aspects of the so called coalition governance, placed between the first two processes and the last moment. Some promising research outlooks are finally pointed out

We show that the distribution of any portfolio whose components jointly follow a location-scale mixture of normals can be characterised solely by its mean, variance and skewness. Under this distributional assumption, we derive the mean-varianceskewness frontier in closed form, and show that it can be spanned by three funds. For practical purposes, we derive a standardised distribution, provide analytical expressions

Traditional mean-variance efficient portfolios do not capture the potential wealth cre- ation opportunities provided by predictability of asset returns. This paper examines the benefits of actively managed portfolio diversification that accrue to a representative foreign investor who considers international investment opportunities among six major Euro-area countries. To do so, we specify two advanced models for time-varying mean, variances and correlations

Economic theory predicts that earnings uncertainty increases precautionary saving and causes households to include relatively liquid assets in their portfolios. Risk avoidance and the demand for liquidity cause these portfolio choices. Studies investigating United States evidence of precautionary portfolio allocation are nonexistent. With panel data, our results confirm the precautionary motive, and indicate that the desire to moderate total exposure to risk (temperance) and the demand for liquidity each affect the household’s portfolio. Both permanent and transitory earnings uncertainty boost total wealth, and this precautionary wealth tends to be invested in safe, liquid assets. These results are particularly pronounced for people facing borrowing constraints. Such behavior is consistent with consumer utility functions that exhibit decreasing absolute risk aversion and decreasing strength of the precautionary motive (prudence). Our findings are important because both unemployment ...

The literature on portfolio allocation generally recognizes proportionality as the norm for distributing cabinet seats in coalition governments. However, more recent studies have been increasingly concerned with the value or salience of different ministerial portfolios, as an access to explaining deviations from the proportionality norm. Although significant progress has been made in the study of coalition governments and portfolio allocation in Eastern Europe, there is still a gap between the data and research available for this region, compared to Western Europe. The article aims to fill a part of this gap by conducting a case study on portfolio allocation in post-communist Romania, particularly focused on the preference for defense and foreign affairs portfolios. Thus, I study the data from 22 coalition governments in Romania, between 1992 and 2020. The article examines the assertion that, while proportionality remains the norm for Romanian coalition governments, the second most important coalition partner is regularly rewarded with either the defense or foreign affairs ministry. In the end, I explore new opportunities for further research based on the findings, and future contributions to the debate on the allocation of foreign affairs and defense portfolios in Eastern Europe.

We discuss the development of dynamic factor models for multivariate financial time series, and the incorporation of stochastic volatility components for latent factor processes. Bayesian inference and computation is developed and explored in a study of the dynamic ...

Since the late 1990s, developing countries as a whole have become net exporters of capital, a pattern which contradicts neoclassical models but can be explained by investors risk aversion. Because they can be seen as a major determinant of country risk, institutional features of target countries are then expected to impact on international portfolio choices. This paper explores the institutional

The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called twofund separation relies on special assumptions on either returns or preferences.

One of the first things parties entering a government coalition do is to decide how they will share the ministerial offices among themselves. Without reaching agreement on this issue, no coalition can take office. For this reason, it is easy to understand why portfolio allocation is so important. In this respect, this paper tries to highlight the differences it is possible to notice if we compare the First and the Second Italian Republic. I hypothesize that those differences depend upon the transformations characterizing the electoral system and the partisan system. More in details, the bargaining environment complexity has increased, and this, in turn, has decreased the proportionality between parties’ seats percentages and portfolio allocation. In the Second Italian Republic (much more than in the First one), one of the most important resources at parties’ disposal has become their own bargaining power.

In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results are derived under weak conditions on the asset returns. No assumption on the correlation structure between different time points is needed and no assumption on the distribution is imposed. All expressions are

Using different unconditional and conditional versions of the bivariate BEKK-GARCH model of Engle and Kroner, we calculate time-varying hedge ratios for Indian stock futures market involving a cross-section of seven firms across a spectrum of industries. These models are solved not only with the usual square root exponent but also analysed with an unrestricted version where the exponent is set