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Multi-period mean-variance asset-liability management with uncontrolled cash flow and uncertain time-horizon

Yao, Haixiang; Zeng, Yan; Chen, Shumin - In: Economic modelling 30 (2013), pp. 492-500

Persistent link: https://www.econbiz.de/10009708888

Dynamic asset pricing in delegated investment : an investigation from the perspective of heterogeneous beliefs of institutional and retail investors

Sheng, Jiliang; Xu, Si; An, Yunbi; Yang, Jun - In: Economic modelling 107 (2022), pp. 1-7

Persistent link: https://www.econbiz.de/10013367483

Continuous-time mean-variance portfolio selection with only risky assets

Yao, Haixiang; Li, Zhongfei; Chen, Shumin - In: Economic modelling 36 (2014), pp. 244-251

Persistent link: https://www.econbiz.de/10010412352

Precious metals, cereal, oil and stock market linkages and portfolio risk management : evidence from Saudi Arabia

Mensi, Walid; Hammoudeh, Shawkat; Kang, Sang Hoon - In: Economic modelling 51 (2015), pp. 340-358

Persistent link: https://www.econbiz.de/10011476048

Factor tracking : a new smart beta strategy that outperforms naïve diversification

Jiang, Chonghui; Du, Jiangze; An, Yunbi; Zhang, Jinqing - In: Economic modelling 96 (2021), pp. 396-408

Persistent link: https://www.econbiz.de/10012745446

A wavelet-based analysis of the co-movement between sukuk bonds and Shariah stock indices in the GCC region : implications for risk diversification

Nasreen, Samia; Naqvi, Syed Asif Ali; Tiwari, Aviral Kumar - In: Journal of risk and financial management : JRFM 13 (2020) 4/63, pp. 1-21

Investors are interested in knowing whether sukuk bonds and shariah stock indices in the Gulf Corporation Council (GCC) region are related. This study examines the connectedness between the sukuk- and shariah-compliant stock indices in the GCC financial markets. Bivariate and multivariate...

Persistent link: https://www.econbiz.de/10012302496

Extracting portfolio management strategies from volatility transmission models in regime-changing environments : evidence from GCC and global markets

Khalifa, Ahmed A. A.; Hammoudeh, Shawkat; Otranto, Edoardo - In: Economic modelling 41 (2014), pp. 365-374

Persistent link: https://www.econbiz.de/10010440698