Search Results - subject:"Markowitz"

Optimising portfolio risk by involving crypto assets in a volatile macroeconomic environment

Bányai, Attila; Tatay, Tibor; Thalmeiner, Gergő; … - In: Risks : open access journal 12 (2024) 4, pp. 1-21

Portfolio diversification is an accepted principle of risk management. When constructing an efficient portfolio, there are a number of asset classes to choose from. Financial innovation is expanding the range of instruments. In addition to traditional commodities and securities, other...

Persistent link: https://www.econbiz.de/10014636496

Quantum computing approach to realistic esg-friendly stock portfolios

Catalano, Francesco; Nasello, Laura; Guterding, Daniel - In: Risks : open access journal 12 (2024) 4, pp. 1-20

finance, often addressed through Markowitz portfolio theory (MPT). While traditional portfolio optimization is carried out in … budgets, they deteriorate as budgets decrease. To alleviate this issue, a discrete Markowitz portfolio theory (DMPT) with … explores portfolio optimization on quantum annealers, establishing a mapping between continuous and discrete Markowitz …

Persistent link: https://www.econbiz.de/10014636503

A personal tribute to Professor Harry Markowitz on the occasion of the JOIM special achievement award

Fong, H. Gifford; Das, Sanjiv R.; Leibowitz, Martin L.; … - In: Journal of investment management : JOIM 18 (2020) 4, pp. 6-13

Persistent link: https://www.econbiz.de/10012589176

A novel approach to portfolio selection using news volume and sentiment

Ho, Kin-Yip; Wang, Kun; Wang, Wanbin Walter - In: International review of finance : the official journal … 23 (2023) 4, pp. 903-917

Persistent link: https://www.econbiz.de/10014440425

Using hierarchical risk parity in the Brazilian market : an out-of-sample analysis

Reis, Felipe; Sobreira, Anderson; Trucíos, Carlos; … - In: Revista Brasileira de Finanças : RBFin 21 (2023) 4, pp. 81-103

Persistent link: https://www.econbiz.de/10014442599

Optimal markowitz portfolio using returns forecasted with time series and machine learning models

Ślusarczyk, Damian; Ślepaczuk, Robert - 2023

Persistent link: https://www.econbiz.de/10014446491

Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022

Multivariate GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this paper, we show how...

Persistent link: https://www.econbiz.de/10013040932

Portfolio creation using graph characteristics and testing its performance

Danko, Jakub; Soltes, Vincent; Bindzar, Tomas - In: Montenegrin journal of economics 18 (2022) 1, pp. 7-17

Persistent link: https://www.econbiz.de/10013204437

Investors' behavior in alternative asset classes

Papavasiliou, Ellie; Topaloglou, Nikolas; Tsomidis, Georgios - In: Spoudai : journal of economics and business 72 (2022) 3/4, pp. 3-55

investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss …

Persistent link: https://www.econbiz.de/10014246136

Robo-advising : optimal investment with mismeasured and unstable risk preferences

Keffert, Henk - In: European journal of operational research : EJOR 315 (2024) 1, pp. 378-392

Persistent link: https://www.econbiz.de/10014562841

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