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Efficiency-stability trade-off in financial systems: a multi-objective optimization approach
Alexandre, Michel; Michalak, Krzystof; Silva, Thiago … - 2022
Persistent link: https://www.econbiz.de/10013461268
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GJR-Copula-CVaR Model for Portfolio Optimization : Evidence for Emerging Stock Markets
Nikusokhan, Moien - 2018
This paper empirically examines the impact of dependence structure between the assets on the portfolio optimization, composed of Tehran Stock Exchange Price Index and Borsa Istanbul 100 Index. In this regard, the method of the Copula family functions is proposed as powerful and flexible tool to...
Persistent link: https://www.econbiz.de/10012909312
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A penalty function approach to occasionally binding credit constraints
Brzoza-Brzezina, Michał; Kolasa, Marcin; Makarski, … - 2013
Persistent link: https://www.econbiz.de/10010226041
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The LIX : a model-independent liquidity index
Guillaume, Florence - In: Journal of banking & finance 58 (2015), pp. 214-231
Persistent link: https://www.econbiz.de/10011543981
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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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Vulnerability analysis of the financial network
Khabazian, Aein; Peng, Jiming - In: Management science : journal of the Institute for … 65 (2019) 7, pp. 3302-3321
Persistent link: https://www.econbiz.de/10012039993
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Hedging crash risk in optimal portfolio selection
Zhu, Shushang; Zhu, Wei; Pei, Xi; Cui, Xueting - In: Journal of banking & finance 119 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012521210
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Assessment of the effect of the financial crisis on agents' expectations through symbolic regression
Claveria, Oscar; Monte, Enric; Torra, Salvador - In: Applied economics letters 24 (2017) 7/9, pp. 648-652
Persistent link: https://www.econbiz.de/10011713088
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Optimal portfolio choice with crash and default risk
Müller, Lukas - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-31
Persistent link: https://www.econbiz.de/10013371220
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The choice of a monetary policy reaction function in a simple optimizing model
Henderson, Dale W.; Kim, Jinill - 1998
Persistent link: https://www.econbiz.de/10000651729