Search Results - subject:"Portfolio selection"

2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns : Out-of-sample comparison of conditional EVT models

Tomlinson, Matthew F.; Greenwood, David; … - In: International journal of forecasting 40 (2024) 1, pp. 324-347

Persistent link: https://www.econbiz.de/10014450274

Potential diversification benefits : a comparative study of Islamic and conventional stock market indexes

Belanes, Amel; Saâdaoui, Foued; Abedin, Mohammad Zoynul - In: Research in international business and finance 67 (2024) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10014451500

Cryptocurrencies against stock market risk : new insights into hedging effectiveness

Just, Małgorzata; Echaust, Krzysztof - In: Research in international business and finance 67 (2024) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10014451518

Selling options to beat the market : further empirical evidence

Balbás de la Corte, Alejandro; Serna, Gregorio - In: Research in international business and finance 67 (2024) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10014451533

FinTech and fan tokens : understanding the risks spillover of digital asset investment

Foglia, Matteo; Maci, Giampiero; Pacelli, Vincenzo - In: Research in international business and finance 68 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014451861

Salience theory and cryptocurrency returns

Cai, Charlie X.; Zhao, Ran - In: Journal of banking and finance 159 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10014452075

Frequency volatility connectedness and portfolio hedging of U.S. energy commodities

Kočenda, Evžen; Moravcová, Michala - 2024

We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show that the total connectedness increased over time, likely due to the increasing financialization of energy commodities. It fluctuates with respect to (i) different investment...

Persistent link: https://www.econbiz.de/10014456134

Long-term dynamic asset allocation under asymmetric risk preferences

Kontosakos, Vasileios E.; Hwang, Soosung; … - In: European journal of operational research : EJOR 312 (2024) 2, pp. 765-782

Persistent link: https://www.econbiz.de/10014456327

First passage times in portfolio optimization : a novel nonparametric approach

Zsurkis, Gabriel; Nicolau, João; Rodrigues, Paulo M. M. - In: European journal of operational research : EJOR 312 (2024) 3, pp. 1074-1085

Persistent link: https://www.econbiz.de/10014456467

The impact of ambiguity on dynamic portfolio selection in the epsilon-contaminated binomial market model

Petturiti, Davide; Vantaggi, Barbara - In: European journal of operational research : EJOR 314 (2024) 3, pp. 1029-1039

Persistent link: https://www.econbiz.de/10014456933

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