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A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises
Guo, Xu; McAleer, Michael; Wong, Wing Keung; Zhu, Lixing - In: The North American journal of economics and finance : a … 42 (2017), pp. 346-358
Persistent link: https://www.econbiz.de/10011938136
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Measuring liquidity with return volatility : an analytical approach based on heavy-tailed Censored-GARCH model
Zhao, Wandi; Gao, Yang; Wang, Mingjin - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013538992
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Risk Budgeting portfolios : existence and computation
Cetingoz, Adil Rengim; Fermanian, Jean-David; Guéant, … - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 896-924
Persistent link: https://www.econbiz.de/10014565279
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A penalty decomposition algorithm with greedy improvement for mean-reverting portfolios with sparsity and volatility constraints
Mousavi, Ahmad; Shen, Jinglai - In: International transactions in operational research : a … 30 (2023) 5, pp. 2415-2435
Persistent link: https://www.econbiz.de/10014259187
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Generalized mathematical programming for optimal replacement in a semi-Markov shock model
Mizuno, Norihiro - In: Operations research 34 (1986) 5, pp. 790-795
Persistent link: https://www.econbiz.de/10003633108
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Optimal dividend policy with random interest rates
Akyildirim, Erdinç; Güney, Ethem; Rochet, Jean-Charles; … - 2013
Persistent link: https://www.econbiz.de/10009750651
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Strengthening Banks' Portfolio Against Asset Shocks : A Genetic Computational Approach
Gurciullo, Stefano - 2013
This thesis investigates models of market risk assessment based on genetic algorithms, with specific reference to asset portfolio choice under volatile market conditions. It does so by developing computational simulations of asset portfolios, which are then subjected to stressful price events. A...
Persistent link: https://www.econbiz.de/10013075302
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Optimal investment-reinsurance problems with common shock dependent risks under two kinds of premium principles
Bi, Junna; Chen, Kailing - In: RAIRO / Operations research 53 (2019) 1, pp. 179-206
Persistent link: https://www.econbiz.de/10012113620
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Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence
Tian, Yingxu; Sun, Zhongyang - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-12
processes are correlated by a common shock. A general mean-variance optimization problem is investigated, that is, besides the …
Persistent link: https://www.econbiz.de/10011857001
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Semi-metric portfolio optimization : a new algorithm reducing simultaneous asset shocks
James, Nick; Menzies, Max; Chan, Jennifer - In: Econometrics : open access journal 11 (2023) 1, pp. 1-33
between time series' structural breaks. Then, we build on the classical portfolio optimization theory of Markowitz and use …, the lowest volatility, and second-lowest drawdown. The main implication for this method in portfolio management is …
Persistent link: https://www.econbiz.de/10014281489