Narrow search
Showing 1 - 5 of 5
Cover Image
Down-side risk metrics as portfolio diversification strategies across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a … investment hold out period, to analyse a naive 1/N diversification strategy, and to contrast its effectiveness with Markowitz … sophisticated optimisation strategies appear to dominate naive diversification. …
Persistent link: https://www.econbiz.de/10011376286
Cover Image
Risk modelling and management : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013
Persistent link: https://www.econbiz.de/10009767001
Cover Image
Portfolio choice and adjustment costs : an Euler equation approach
Broer, Dirk Peter; Jansen, Willem Jos - 1995
Persistent link: https://www.econbiz.de/10000909193
Cover Image
The mean-variance model with capital controls and expectations formation : a test on German portfolio data
Jansen, Willem Jos - 1995
Persistent link: https://www.econbiz.de/10000915603
Cover Image
A multi-criteria portfolio analysis of hedge fund strategies
Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - 2017
This paper features a tri-criteria analysis of Eurekahedge fund data strategy index data. We use nine Eurekahedge equally weighted main strategy indices for the portfolio analysis. The tri-criteria analysis features three objectives: return, risk and dispersion of risk objectives in a...
Persistent link: https://www.econbiz.de/10011587620