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Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
Tansuchat, Roengchai - 2010
The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to calculate optimal portfolio weights and optimal hedge ratios, and...
Persistent link: https://www.econbiz.de/10013149486
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Take-the-Best in Portfolio Selection
Schumann, Enrico - 2013
A well-known result in portfolio optimisation states that as the number of assets in a portfolio grows, the variance of portfolio return approaches the average covariance between the included assets. I argue that this result should not be read as a justification to emphasise forecasting...
Persistent link: https://www.econbiz.de/10013087034
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Mean-Variance Portfolio Optimization Based on Ordinal Information
Eranda, Cela - 2019
We propose a new approach that allows for incorporating qualitative views, such as ordering information, into estimates of future asset returns within the Black-Litterman model. We develop a mathematical framework and numerical computation methods for this setting. We find importance sampling to...
Persistent link: https://www.econbiz.de/10012889873
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Superiority of Optimized Portfolios to Naive Diversification : Fact or Fiction?
Zakamulin, Valeriy - 2016
DeMiguel, Garlappi, and Uppal (2009) conducted a highly influential study where they demonstrated that none of the optimized portfolios consistently outperformed the naive diversification. This result triggered a heated debate within the academic community on whether portfolio optimization adds...
Persistent link: https://www.econbiz.de/10012990819
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Robust Portfolio Optimization with Multivariate Copulas : A Worst-Case CVaR Approach
B. Sabino da Silva, Fernando - 2018
Conditional Value-at-Risk (CVaR) minimization model by applying multidimensional mixed Archimedean copula function and obtaining … Copula-CVaR approach generates portfolios with better downside risk statistics for any rebalancing period and it is more …
Persistent link: https://www.econbiz.de/10012931953
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Portfolio optimization : application of the Markowitz model using lagrange and profitability forecast
Brătian, Vasile - In: Expert journal of economics 6 (2018) 1, pp. 26-34
This paper presents the theoretical and applicative model elaborated by Harry Markowitz on the determination of the structure of the efficient securities portfolio. In this sense, in order to determine the structure of the efficient Markowitz portfolio (PE), a Lagrange function is built and...
Persistent link: https://www.econbiz.de/10012062904
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A Practical Guide for Optimizing Volatility Positions with Interior Point Solvers
Silverstein, Brian - 2022
discrete ill-posed problem with box constraints. We show how this framework allows for a priori investor expectations and risk … parameters to be applied in the optimization process for robust position risk management. We use implied volatility decreases … that this model can be applied dynamically to manage portfolio risk for positions with multiple options and an underlying …
Persistent link: https://www.econbiz.de/10014236189
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When Bayes-Stein Meets Machine Learning : A Generalized Approach for Portfolio Optimization
Gounopoulos, Dimitrios; Platanakis, Emmanouil; … - 2022
The Bayes-Stein model provides a framework for remedying parameter uncertainty in the Markowitz mean-variance portfolio optimization. The classical version, however, suffers from estimation errors of model components and fails to consistently outperform the naive 1/N asset allocation rule. We...
Persistent link: https://www.econbiz.de/10014236791
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Maximally Machine-Learnable Portfolios
Goulet Coulombe, Philippe; Göbel, Maximilian - 2023
When it comes to stock returns, any form of predictability can bolster risk-adjusted profitability. We develop a …
Persistent link: https://www.econbiz.de/10014348906
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Optimal dynamic portfolio with mean-CVaR criterion
Li, Jing; Xu, Mingxin - In: Risks : open access journal 1 (2013) 3, pp. 119-147
Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and … investor is faced with a Markowitz type of risk reward problem at the final horizon, where variance as a measure of risk is …
Persistent link: https://www.econbiz.de/10010338351