Temporal Aggregation Effects on the Construction of Portfolios of Stocks or Mutual Funds through Optimization Techniques - Some Empirical and Monte Carlo Results
Year of publication: |
2007
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Authors: | Tserkezos, Dikaios ; Xanthos, George |
Institutions: | Department of Economics, University of Crete |
Subject: | Portfolio Optimization | Stocks | Temporal Aggregation | Stochastic Simulation | The Banking Sector of the Athens Stocks Exchange |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Published in Operational Research Journal ,Volume 7 Number 0812 27 pages |
Classification: | C32 - Time-Series Models ; C43 - Index Numbers and Aggregation ; C51 - Model Construction and Estimation ; G14 - Information and Market Efficiency; Event Studies |
Source: |
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Temporal aggregation and causality in multiple time series models
Breitung, Jörg, (1998)
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Tserkezos, Dikaios, (2013)
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Temporal aggregation and causality in multiple time series models
Breitung, Jörg, (1998)
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Optimal Portfolio Analysis for the Czech Republic, Hungary and Poland During 2001– 2006 Period
Xanthos, George, (2007)
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A Note on the Diachronic Behaviour of the OECD Forecasts for Greece
Tserkezos, Dikaios, (2008)
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TEMPORAL AGGREGATION IN STRUCTURAL VAR MODELS
Georgoutsos, Dimitris,
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