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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 …
Persistent link: https://www.econbiz.de/10014281489
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Tests for market model instability : an empirical comparison of tests using recursive residuals
Knif, Johan - 1988
Persistent link: https://www.econbiz.de/10000126783
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Aktienprognosen zur Portfolio-Optimierung
Marx, Stefan - 1996
Persistent link: https://www.econbiz.de/10000945612
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Arbitrage valuation of variance forecasts with simulated options
Engle, Robert F. (contributor) - 1992 - Rev
Persistent link: https://www.econbiz.de/10000841635
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Portfolio selection with randomly time-varying first and second moments : the role of the instantaneous capital market line
Nielsen, Lars Tyge; Vassalou, Maria - 1998 - (Rev. version of 97/46/FIN)
Persistent link: https://www.econbiz.de/10000989380
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Outperforming the market using biliniarities in fundamentals and macroeconomic variables
Kloek, Teunis; Lucas, André; Dijk, Ronald van - 1995
Persistent link: https://www.econbiz.de/10000922344
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Value at risk using the factor-ARCH model
Christiansen, Charlotte - 1998
Persistent link: https://www.econbiz.de/10000994075
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Schätzung von variierenden Beta-Koeffizienten mit dem Kalman-Filter
Boos, Anna Carri - 1988
Persistent link: https://www.econbiz.de/10000746710
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Valuation of variance forecasts with simulated option markets
Engle, Robert F.; Hong, Che-hsiung T.; Kane, Alex - 1990
Persistent link: https://www.econbiz.de/10000790825
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Finanzanalyse : Grundlagen der markttechnischen Analyse
Stöttner, Rainer - 1989
Persistent link: https://www.econbiz.de/10000778876