Similar Search Results

Equilibrium under uncertain inflation : a discrete time approach

Levy, Haim - In: Journal of financial and quantitative analysis : JFQA 22 (1987) 3, pp. 285-297

Persistent link: https://www.econbiz.de/10001037500

Neural network predictive modeling on dynamic portfolio management : a simulation-based portfolio optimization approach

Yu, Jiayang; Chang, Kuo-Chu - In: Journal of risk and financial management : JRFM 13 (2020) 11/285, pp. 1-23

Portfolio optimization and quantitative risk management have been studied extensively since the 1990s and began to … reevaluate and mitigate the risk and return trade-off in building their clients´ portfolios. The advancement of machine …-based Predictive Model (EFPM). Then, we combine it with the Copula-GARCH simulation model and the Mean-Conditional Value at Risk (Mean …

Persistent link: https://www.econbiz.de/10012388728

The investment home bias with peer effect

Levy, Haim - In: Journal of risk and financial management : JRFM 13 (2020) 5/94, pp. 1-19

Observed international diversification implies an investment home bias (IHB). Can bivariate preferences with a local domestic peer group rationalize the IHB? For example, it is argued that wishing to have a large correlation with the Standard and Poor's 500 stock index (S&P 500 stock index) may...

Persistent link: https://www.econbiz.de/10012304869

A machine learning integrated portfolio rebalance framework with risk-aversion adjustment

Jiang, Zhenlong; Ji, Ran; Chang, Kuo-Chu - In: Journal of risk and financial management : JRFM 13 (2020) 7/155, pp. 1-20

We propose a portfolio rebalance framework that integrates machine learning models into the mean-risk portfolios in … multi-period settings with risk-aversion adjustment. In each period, the risk-aversion coefficient is adjusted automatically … risk of a portfolio and use a set of technical indicators generated from a market index (e.g., S&P 500 index) to feed the …

Persistent link: https://www.econbiz.de/10012309356