Similar Search Results

Parallel optimization of sparse portfolios with AR-HMMs

Sipos, I. Róbert; Ceffer, Attila; Levendovszky, János - In: Computational economics 49 (2017) 4, pp. 563-578

Persistent link: https://www.econbiz.de/10011762135

Constrained mean-variance portfolio optimization with alternative return estimation

Georgiev, Boris - In: Atlantic economic journal : AEJ 42 (2014) 1, pp. 91-107

Persistent link: https://www.econbiz.de/10010364842

An active asset management investment process for drawdown-averse investors

Reveiz-Herault, Alejandro - In: Intelligent systems in accounting finance and … 23 (2016) 1/2, pp. 85-96

Persistent link: https://www.econbiz.de/10011668115

Allocation of Stocks in a Portfolio Using Antlion Algorithm : Investor's Perspective

Kaushal, Kshma - 2018

An investment is a commitment of funds made in the expectation of some positive rate of return. A fundamental principle of investments is diversification, where investors diversify their investments into different types of financial assets. The different stocks can be clubbed in one portfolio....

Persistent link: https://www.econbiz.de/10012921823

Behavioral stock portfolio optimization considering holding periods of B-stocks with short-selling

Chang, Kuo-Hwa; Young, Michael Nayat - In: Computers & operations research : and their … 112 (2019), pp. 1-19

Persistent link: https://www.econbiz.de/10012109173

ESG compliant optimal portfolios : the impact of ESG constraints on portfolio optimization in a sample of European stocks

Torricelli, Costanza; Bertelli, Beatrice - 2022

Persistent link: https://www.econbiz.de/10014248170

Currency Hedging Strategies Using Dynamic Multivariate GARCH

Chang, Chia-Lin - 2012

volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of … Chang et al. [17], we estimate four multivariate volatility models (namely CCC, VARMA-AGARCH, DCC and BEKK), and calculate …

Persistent link: https://www.econbiz.de/10013113663

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 optimal portfolio weights of all multivariate volatility models for Brent suggest holding futures in larger … volatility model give the time-varying hedge ratios, and recommend to short in crude oil futures with a high proportion of one …

Persistent link: https://www.econbiz.de/10013149486

Crude oil hedging strategies using dynamic multivariate GARCH

Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10003987324

Crude oil hedging strategies using dynamic multivariate GARCH

Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - In: Energy economics 33 (2011) 5, pp. 912-923

Persistent link: https://www.econbiz.de/10009382992