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Down-side risk metrics as portfolio diversification strategies across the global financial crisis

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-18

This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically-compounded returns, in...

Persistent link: https://www.econbiz.de/10011543960

A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 6-30

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily return series and a similar...

Persistent link: https://www.econbiz.de/10011555743

Transitional credit modelling and its relationship to market value at risk : an Australian sectoral perspective

Allen, David E.; Powell, Robert - In: Accounting and finance : journal of the Accounting … 49 (2009) 3, pp. 425-444

Persistent link: https://www.econbiz.de/10003889276

Analysing the return distribution of Australian stocks : the CAPM, factor models and quantile regressions

Allen, David E.; Singh, Abhay Kumar; Powell, Robert - In: Global business & economics review 15 (2013) 1, pp. 88-109

Persistent link: https://www.econbiz.de/10009708736

Quantifying the non-Gaussian gain

Allen, David; Satchell, Stephen; Lizieri, Colin - In: The journal of asset management : a major new, … 25 (2024) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10014511571

"In defense of portfolio optimization: what if we can forecast?": a comment

Michaud, Richard O.; Esch, David N.; Michaud, Robert O. - In: Financial analysts journal : FAJ 76 (2020) 2, pp. 104-105

Persistent link: https://www.econbiz.de/10012261138

"In defense of portfolio optimization: what if we can forecast?" : author response

Allen, David; Lizieri, Colin; Satchell, Stephen - In: Financial analysts journal : FAJ 76 (2020) 2, pp. 106-107

Persistent link: https://www.econbiz.de/10012261139

A comparison of non-Gaussian VaR estimation and portfolio construction techniques

Allen, David; Lizieri, Colin; Satchell, Stephen - In: Journal of empirical finance 58 (2020), pp. 356-368

Persistent link: https://www.econbiz.de/10012430709

In defense of portfolio optimization : what if we can forecast?

Allen, David; Lizieri, Colin; Satchell, Stephen - In: Financial analysts journal : FAJ 75 (2019) 3, pp. 20-38

Persistent link: https://www.econbiz.de/10012195894