The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...

The study develops a parsimonious representation of the macro economy of Bangladesh. It aims to serve a dual purpose. First, it provides a framework for making rational and consistent predictions about Bangladesh's overall economic activity, the standard components of the balance of payments,...

This paper compares several bivariate conditional density parameterizations for stock market returns in terms of in-sample fit and out-of-sample predictive ability for the whole conditional density. We consider Skew-Normal, Skew-Student, Skew-GED and Gram-Charlier densities. We focus on the...

We provide clear-cut evidence for economically and statistically significant multivariate jumps (multi-jumps) occurring simultaneously in stock prices by using a novel nonparametric test based on smoothed estimators of integrated variances. Detecting multi-jumps in a panel of liquid stocks is...

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...

This paper proposes a new way to measure and deal with risk within the portfolio selection problem using a skewness/semivariance biobjective optimization framework. The solutions of this biobjective optimization problem allow the investor to analyse the efficient trade-off between skewness and...