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Neural network predictive modeling on dynamic portfolio management: A simulation-based portfolio optimization approach

Yu, Jiayang; Chang, Kuo-Chu - In: Journal of Risk and Financial Management 13 (2020) 11, pp. 1-23

-based Predictive Model (EFPM). Then, we combine it with the Copula-GARCH simulation model and the Mean-Conditional Value at Risk (Mean-CVaR …, Sharpe ratio, maximum drawdown, and 99% CVaR. …

Persistent link: https://www.econbiz.de/10012611483

Comparison of semi-parametric and benchmark value-at-risk models in several time periods with different volatility levels

Buczyński, Mateusz; Chlebus, Marcin - In: e-Finanse: Financial Internet Quarterly 14 (2018) 2, pp. 67-82

for main indices from stock exchanges was conducted. The VaR forecasts from GARCH(1,1), GARCH-t(1,1), GARCH-st(1,1), QML-GARCH … volatility trend. However, GARCH-st (1,1) and QML-GARCH(1,1) were found to be the most robust models in the different volatility …

Persistent link: https://www.econbiz.de/10012011844

Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error

Barendse, Sander; Kole, Erik; van Dijk, Dick - 2019

application to VaR and ES forecasts for daily FTSE 100 index returns as generated by AR-GARCH, AR-GJR-GARCH, and AR-HEAVY models …

Persistent link: https://www.econbiz.de/10012114811

The impact of systemic risk on the diversification benefits of a risk portfolio

Busse, Marc; Dacorogna, Michel; Katz, Marie - In: Risks 2 (2014) 3, pp. 260-276

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a probabilistic approach to examine the consequences of...

Persistent link: https://www.econbiz.de/10010421271

How Sensitive are Tail-related Risk Measures in a Contamination Neighbourhood?

Härdle, Wolfgang Karl; Ling, Chengxiu - 2018

Estimation or mis-specification errors in the portfolio loss distribution can have a considerable impact on risk measures. This paper investigates the sensitivity of tail-related risk measures including the Value-at-Risk, expected shortfall and the expectile-quantile transformation level in an...

Persistent link: https://www.econbiz.de/10012433159

Optimal Allocation of Retirement Portfolios

Maritato, Kevin; Lane, Morton; Murphy, Matthew; … - In: Journal of Risk and Financial Management 15 (2022) 2, pp. 1-17

with risk measured by CVaR and additional sophisticated constraints. The cash outflow shortages are penalized in the …

Persistent link: https://www.econbiz.de/10013201368

Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility

Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to financial stability. In particular, it...

Persistent link: https://www.econbiz.de/10012179799