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Volatility as a new class of assets? The advantages of using volatility index futures in investment strategies
Jabłecki, Juliusz; Kokoszczyński, Ryszard; Sakowski, … - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2014
gains of having such an asset in the portfolio in case of very high volatility in financial markets. …
Persistent link: https://www.econbiz.de/10010932927
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Dynamische Steuerung von Portfoliorisiken
Reinschmidt, Timo - 2006
Persistent link: https://www.econbiz.de/10004920247
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On the Benefits of Equicorrelation for Portfolio Allocation
Clements, Adam; Scott, Ayesha; Silvennoinen, Annastiina - National Centre for Econometric Research (NCER) - 2013
The importance of modelling correlation has long been recognised in the field of portfolio management with large dimensional multivariate problems are increasingly becoming the focus of research. This paper provides a straightforward and commonsense approach toward investigating a number of...
Persistent link: https://www.econbiz.de/10010854931
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Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation
Khalifa, A.; Hammoudeh, S.; Otranto, E.; Ramchander, S. - Centro Ricerche Nord Sud (CRENoS) - 2012
This paper uses the multi-chain Markov Switching model to examine the nature of the volatility transmission across … it is tranquil, and portfolio weights are larger for assets that are in the low volatility state. …
Persistent link: https://www.econbiz.de/10010757677
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Volatility timing: How best to forecast portfolio exposures
Clements, A.; Silvennoinen, A. - In: Journal of Empirical Finance 24 (2013) C, pp. 108-115
This paper investigates how best to forecast optimal portfolio weights in the context of a volatility timing strategy …. It measures the economic value of a number of methods for forming optimal portfolios on the basis of realized volatility … time series of optimal portfolio weights are constructed from observed realized volatility and direct forecast is also …
Persistent link: https://www.econbiz.de/10011042113
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Selection of the right risk measures for portfolio allocation
Nguyen, Thanh - In: International Journal of Monetary Economics and Finance 7 (2014) 2, pp. 135-156
An optimisation framework is proposed to enable investors to select the right risk measures in portfolio selection. Verification is deployed by performing experiments in developed markets (e.g., the US stock market), emerging markets (e.g., the South Korean stock market) and global investments....
Persistent link: https://www.econbiz.de/10010944869
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Stock Return Volatility Effect: Study of BRICS
Kishor, Nawal; Singh, Raman Preet - In: Transnational Corporations Review 6 (2014) 4, pp. 406-418
The present study examines the stock return volatility relationship of emerging economies from 2007 to 2013 which also … stock return volatility in all the countries stock markets. These findings have important implication for the investors …
Persistent link: https://www.econbiz.de/10011126744
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The Volatility and Correlations of Stock Returns of Some Crisis-Hit Countries: US, Greece, Thailand and Malaysia: Evidence from MGARCH-DCC applications
Masih, Mansur; Majid, Hamdan Abdul - Volkswirtschaftliche Fakultät, … - 2013
This paper investigates the volatility and correlations of stock returns of some crisis-hit countries such as, US … following two issues: Firstly, to measure the extent of volatility of the stock indices under study and also the correlation of …
Persistent link: https://www.econbiz.de/10011108726
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Testing for Stochastic Dominance with Diversification Possibilities
Post, G.T. - Erasmus Research Institute of Management (ERIM), ERIM … - 2001
We derive empirical tests for stochastic dominance that allow for diversification between choice alternatives. The tests can be computed using straightforward linear programming. Bootstrapping techniques and asymptotic distribution theory can approximate the sampling properties of the test...
Persistent link: https://www.econbiz.de/10005288711
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Testing for Stochastic Dominance with Diversification Possibilities
Post, Post, G.T. - Erasmus Research Institute of Management (ERIM), … - 2001
We derive empirical tests for stochastic dominance that allow for diversification between choice alternatives. The tests can be computed using straightforward linear programming. Bootstrapping techniques and asymptotic distribution theory can approximate the sampling properties of the test...
Persistent link: https://www.econbiz.de/10010731234