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Statistical modelling of downside risk spillovers

Ahelegbey, Daniel Felix - 2020

Persistent link: https://www.econbiz.de/10012321946

On dynamic measures of risk

Cvitanić, Jakša; Karatzas, Ioannis - In: Finance and stochastics 3 (1999) 4, pp. 451-482

Persistent link: https://www.econbiz.de/10001412192

Analyzing hedging strategies for fixed income portfolios : a Bayesian approach for model selection

Bessler, Wolfgang; Leonhardt, Alexander; Wolff, Dominik - In: International review of financial analysis 46 (2016), pp. 239-256

Persistent link: https://www.econbiz.de/10011581819

Analyzing Hedging Strategies for Fixed Income Portfolios : A Bayesian Approach for Model Selection

Bessler, Wolfgang - 2016

government bonds had to derive new hedging strategies to deal with changing return properties and higher levels of uncertainty … hedging performance relative to unconditional hedging approaches such as OLS. The aim of this study is to test innovative … hedging strategies for EMU bond portfolios for non-crisis and crisis periods. We analyze single and composite hedges with the …

Persistent link: https://www.econbiz.de/10013006511

Asset Allocation und Prognoseunsicherheit : Die Berücksichtigung von Schätzfehlern in der strategischen und taktischen Asset Allocation

Herold, Ulf - 2004 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001916089

Bayesian portfolio optimization from a static and dynamic perspective

Bade, Alexander - 2009

Persistent link: https://www.econbiz.de/10003881492

Adaptive universal portfolios

O'Sullivan, Patrick; Edelman, David - In: The European journal of finance 21 (2015) 4/6, pp. 337-351

Persistent link: https://www.econbiz.de/10010528186

Dealing with drift uncertainty : a Bayesian learning approach

De Franco, Carmine; Nicolle, Johann; Pham, Huyên - In: Risks : open access journal 7 (2019) 1/5, pp. 1-18

One of the main challenges investors have to face is model uncertainty. Typically, the dynamic of the assets is modeled using two parameters: the drift vector and the covariance matrix, which are both uncertain. Since the variance/covariance parameter is assumed to be estimated with a certain...

Persistent link: https://www.econbiz.de/10012018698

Bayesian learning for the Markowitz portfolio selection problem

De Franco, Carmine; Nicolle, Johann; Pham, Huyên - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-40

Persistent link: https://www.econbiz.de/10012153463

Portfolio selection and asset pricing models

Pástor, Ľuboš - In: The journal of finance : the journal of the American … 55 (2000) 1, pp. 179-223

Persistent link: https://www.econbiz.de/10001496990