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Portfolio allocation for European markets with predictability and parameter uncertainty
Jondeau, Eric; Rockinger, Michael - 2010
We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...
Persistent link: https://www.econbiz.de/10008797745
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Time Series Forecasting With a Learning Algorithm : An Approximate Dynamic Programming Approach
Collado, Ricardo - 2019
We consider the basic problem of refi tting a time series over a finite period of time and formulate it as a stochastic dynamic program. By changing the underlying Markov decision process we are able to obtain a model that at optimality considers historical data as well as forecasts of future...
Persistent link: https://www.econbiz.de/10012894079
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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 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
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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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Incorporating parameter risk into derivatives prices : bid-ask pricing and calibration
Bannör, Karl Friedrich - 2013
In this thesis, a new methodology using convex risk measures is developed to incorporate parameter risk into prices of financial derivatives, provided that a distribution on the parameter space is given. A technique to induce a parameter distribution in case of calibration to market prices is...
Persistent link: https://www.econbiz.de/10010191893
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Portfolio optimization through hybrid deep learning and genetic algorithms vine Copula-GARCH-EVT-CVaR model
Bedoui, Rihab; Benkraiem, Ramzi; Guesmi, Khaled; … - In: Technological forecasting & social change : an … 197 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014468847
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Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model : empirical evidence from ASEAN stock indexes
Sang Phu Nguyen; Toan Luu Duc Huynh - In: Quantitative finance and economics 3 (2019) 3, pp. 562-585
Persistent link: https://www.econbiz.de/10012176618
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Solving linear rational expectations models with lagged expectations quickly and easily
Meyer-Gohde, Alexander (contributor) - 2007
A solution method is derived in this paper for solving a system of linear rational-expectations equation with lagged expectations (e.g., models incorporating sticky information) using the method of undetermined coefficients for the infinite MA representation. The method applies a combination of...
Persistent link: https://www.econbiz.de/10003635144
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Two-Stage Portfolio Optimization with Higher-Order Conditional Measures of Risk
Gulten, Sitki - 2013
The importance of portfolio optimization in finance field has been increasing significantly. Although, portfolio optimization problems over a single period or multiple periods are studied extensively, the problem with an option to rebalance over multiple periods is not considered significantly....
Persistent link: https://www.econbiz.de/10013091376
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LQG for Portfolio Optimization
Abeille, Marc - 2016
We introduce a generic solver for dynamic portfolio allocation problems when the market exhibits return predictability, price impact and partial observability. We assume that the price modeling can be encoded into a linear state-space and we demonstrate how the problem then falls into the LQG...
Persistent link: https://www.econbiz.de/10012980026