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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 … optimise portfolio risk. We use VaR risk measures to optimise the process. Diversification opportunities are evaluated under … 2022. Our research results ultimately confirm that including cryptoassets can reduce the risk of an investment portfolio …

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

Inhomogeneous financial markets in a low interest rate environment : a cluster analysis of eurozone economies

Tatay, Tibor; Orlovits, Zsanett; Novák, Zsuszanna - In: Risks : open access journal 10 (2022) 10, pp. 1-22

In the present paper, we investigate the financial homogeneity of the euro area economies by contrasting eurozone countries' responses to monetary policy steps to the theoretical assumptions of the liquidity trap phenomenon. Our assumption is that the euro area economies are not completely...

Persistent link: https://www.econbiz.de/10013556643

Navigating inflation challenges : AI-based portfolio management insights

Bareith, Tibor; Tatay, Tibor; Vancsura, László - In: Risks : open access journal 12 (2024) 3, pp. 1-16

After 2010, the consumer price index fell to a low level in the EU. In the euro area, it remained low between 2010 and 2020. The European Central Bank has even had to take action against the emergence of deflation. The situation changed significantly in 2021. Inflation jumped to levels not seen...

Persistent link: https://www.econbiz.de/10014497442

Evaluating the effectiveness of modern forecasting models in predicting commodity futures prices in volatile economic times

Vancsura, László; Tatay, Tibor; Bareith, Tibor - In: Risks : open access journal 11 (2023) 2, pp. 1-16

The paper seeks to answer the question of how price forecasting can contribute to which techniques gives the most accurate results in the futures commodity market. A total of two families of models (decision trees, artificial intelligence) were used to produce estimates for 2018 and 2022 for 21-...

Persistent link: https://www.econbiz.de/10014233184