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Statistical modelling of downside risk spillovers

Ahelegbey, Daniel Felix - 2020

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

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

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

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

Bayesian portfolio optimization from a static and dynamic perspective

Bade, Alexander - 2009

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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

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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

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

Herold, Ulf - 2004 - 1. Aufl.

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Adaptive universal portfolios

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

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Uncertainty in the Black-Litterman model : a practical perspective

Fuhrer, Adrian; Hock, Thorsten - In: Credit and capital markets : Kredit und Kapital 57 (2024) 1/4, pp. 157-183

Deriving an optimal asset allocation hinges crucially on the quality of inputs used in the optimization. If the vector of expected returns and the covariance matrix are known with certainty, mean-variance optimization produces optimal portfolios. If, however, these parameters are estimated with...

Persistent link: https://www.econbiz.de/10015427550