Narrow search
Showing 1 - 10 of 2,029
Cover Image
THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL
CHICHEPORTICHE, RÉMY; BOUCHAUD, JEAN-PHILIPPE - In: International Journal of Theoretical and Applied … 15 (2012) 03, pp. 1250019-1
more general elliptical models, for describing the joint distribution of returns. We find that while Student copulas … methodological interest to efficiently visualise and compare different copulas. We identify the rescaled difference with the Gaussian … formal choices of copulas with no financial interpretation. …
Persistent link: https://www.econbiz.de/10011011286
Cover Image
Reconstructing high dimensional dynamic distributions from distributions of lower dimension
Anatolyev, Stanislav; Khabibullin, Renat; Prokhorov, Artem - Center for Economic and Financial Research (CEFIR), New … - 2013
is motivated by the theory of composite likelihood and by the theory of copula functions. It recovers m …
Persistent link: https://www.econbiz.de/10010684833
Cover Image
An algorithm for constructing high dimensional distributions from distributions of lower dimension
Anatolyev, Stanislav; Khabibullin, Renat; Prokhorov, Artem - In: Economics Letters 123 (2014) 3, pp. 257-261
We propose a new sequential procedure for estimating multivariate distributions in cases when conventional maximum likelihood has too many parameters and is therefore inaccurate or non-operational. The procedure constructs a multivariate distribution and its pseudo-likelihood sequentially, in...
Persistent link: https://www.econbiz.de/10010776628
Cover Image
The Joint Dynamics of Equity Market Factors
Christoffersen, Peter; Langlois, Hugues - School of Economics and Management, University of Aarhus - 2011
The four equity market factors from Fama and French (1993) and Carhart (1997) are perva- sive in academic empirical asset pricing studies and in applied portfolio allocation. However, the joint distributional dynamics of the factors are rarely studied. For investors basing strate- gies on the...
Persistent link: https://www.econbiz.de/10009385754
Cover Image
Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach
Boubaker, Heni; Sghaier, Nadia - In: Journal of Banking & Finance 37 (2013) 2, pp. 361-377
financial returns and on portfolio optimization. First, we focus on the dependence structure using copulas. To select the best …
Persistent link: https://www.econbiz.de/10010595280
Cover Image
An artificial intelligence approach to portfolio selection and management
Abdelazim, Hazem Y.; Wahba, Khaled - In: International Journal of Financial Services Management 1 (2006) 2/3, pp. 243-254
. Modern portfolio theory and Markowitz efficient frontier start with a set of assets (securities) and generate an optimal …
Persistent link: https://www.econbiz.de/10010668720
Cover Image
DYNAMIC PORTFOLIO SELECTION UNDER CAPITAL-AT-RISK WITH NO SHORT-SELLING CONSTRAINTS
DMITRAŠINOVIĆ-VIDOVIĆ, GORDANA; LARI-LAVASSANI, ALI; … - In: International Journal of Theoretical and Applied … 14 (2011) 06, pp. 957-977
Portfolio optimization under downside risk is of crucial importance to asset managers. In this article we consider one such particular measure given by the notion of Capital at Risk (CaR), closely related to Value at Risk. We consider portfolio optimization with respect to CaR in the...
Persistent link: https://www.econbiz.de/10009320900
Cover Image
Portfolio Selection and Optimization with Higher Moments: Evidence from the Indian Stock Market
Saranya, K.; Prasanna, P. - In: Asia-Pacific Financial Markets 21 (2014) 2, pp. 133-149
the original Markowitz portfolio theory (mean-variance) via adding the higher order moments like skewness (third moment …
Persistent link: https://www.econbiz.de/10010866390
Cover Image
ALTERNATIVE INVESTMENTS AND STRATEGIES:
Kiesel, Rüdiger (contributor);  … - World Scientific Publishing Co. Pte. Ltd.
This book combines academic research and practical expertise on alternative assets and trading strategies in a unique way. The asset classes that are discussed include: credit risk, cross-asset derivatives, energy, private equity, freight agreements, alternative real assets (ARA), and socially...
Persistent link: https://www.econbiz.de/10008690477
Cover Image
The influence of ETFs on the price discovery of gold, silver and oil
Ivanov, Stoyu - In: Journal of Economics and Finance 37 (2013) 3, pp. 453-462
ETFs has shifted price discovery for gold and silver to the ETF market, while the oil market has price discovery occurring …
Persistent link: https://www.econbiz.de/10010848266