How to fly to safety without overpaying for the ticket

• Authors: Tomasz Kaczmarek , Przemysław Grobelny

Abstracts

EN

For most active investors treasury bonds (govs) provide diversification and thus reduce the risk of a portfolio. These features of govs become particularly desirable in times of elevated risk which materialize in the form of the flight-to-safety (FTS) phenomenon. The FTS for govs provides a shelter during market turbulence and is exceptionally beneficial for portfolio drawdown risk reduction. However what if the unsatisfactory expected return from treasuries discourages higher bonds allocations? This research proposes a solution to this problem with Deep Target Volatility Equity-Bond Allocation (DTVEBA) that dynamically allocate portfolios between equity and treasuries.

Keywords

EN

asset allocation strategy; target volatility; flight-to-safety; recurrent neural networks; machine learning

• Publisher: Uniwersytet Ekonomiczny w Poznaniu
• Journal: Economics and Business Review
• Year: 2023
• Volume: 9
• Issue: 2
• Pages: 160-183

Dates

published

2023

Contributors

author

Tomasz Kaczmarek

• Department of Investment and Financial Markets, Insttiute of Finance, Poznań University of Economics and Business, al. Niepodległości 10, 61-875 Poznań, Poland, corresponding author:

• https://orcid.org/000000031828100X

author

Przemysław Grobelny

• Department of Investment and Financial Markets, Insttiute of Finance, Poznań University of Economics and Business, al. Niepodległości 10, 61-875 Poznań, Poland, corresponding author:

• https://orcid.org/0000000314532844

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Identifiers

DOI

10.18559/ebr.2023.2.738

Biblioteka Nauki

9252090