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The ten commandments for managing investments
Caporin, Massimiliano; McAleer, Michael - In: Journal of economic surveys 24 (2010) 1, pp. 196-200
Persistent link: https://www.econbiz.de/10003948951
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Review on efficiency and anomalies in stock markets
Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51
Behavioral Finance underlie. The review is also beneficial to investors for making choices of investment products and strategies …
Persistent link: https://www.econbiz.de/10012237439
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Down-side risk metrics as portfolio diversification strategies across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
Persistent link: https://www.econbiz.de/10011432732
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Informatics, data mining, econometrics and financial economics : a connection
Chang, Chia-Lin; McAleer, Michael; Wong, Wing Keung - 2015
Persistent link: https://www.econbiz.de/10011432740
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Management science, economics and finance : a connection
Chang, Chia-Lin; McAleer, Michael; Wong, Wing Keung - 2016
Persistent link: https://www.econbiz.de/10011541142
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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
one for the application of portfolio investment strategies. The analysis is undertaken via the examination of multiple … investment strategies and a variety of hold-out periods and backtests. We commence by using four two-year estimation periods and … a subsequent one-year investment hold out period, to analyse a naive 1/N diversification strategy and to contrast its …
Persistent link: https://www.econbiz.de/10011543960
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Management science, economics and finance : a connection
Chang, Chia-Lin; McAleer, Michael; Wong, Wing Keung - 2016
This paper provides a brief review of the connecting literature in management science, economics and finance, and discusses some research that is related to the three disciplines. Academics could develop theoretical models and subsequent econometric models to estimate the parameters in the...
Persistent link: https://www.econbiz.de/10011479822
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Down-side risk metrics as portfolio diversification strategies across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
portfolio investment strategies. The analysis is undertaken via the examination of multiple investment strategies and a variety … investment hold out period, to analyse a naive 1/N diversification strategy, and to contrast its effectiveness with Markowitz … mean variance analysis with positive weights. Markowitz optimisation is then compared with various down-side investment …
Persistent link: https://www.econbiz.de/10011376286
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Has the Basel II accord encouraged risk management during the 2008 - 09 financial crisis?
McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - 2009
The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...
Persistent link: https://www.econbiz.de/10011378354
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Spectrally-corrected estimation for high-dimensional Markowitz mean-variance optimization
Bai, Zhidong; Li, Hua; McAleer, Michael; Wong, Wing Keung - 2016
This paper considers the portfolio problem for high dimensional data when the dimension and size are both large.We analyze the traditional Markowitz mean-variance (MV) portfolio by large dimension matrix theory, and find the spectral distribution of the sample covariance is the main factor to...
Persistent link: https://www.econbiz.de/10011456708