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Stochastic Orders and Moments of Absolute Value of Normal Random Variable

Comlan, Emile C. Bonaventure - 2018

It is already known, under certain conditions including stochastic inequalities, the comparison of moments. In this paper, we will study in detail the reverse of this problem, that is, the stochastic orderings implied by moments inequalities. We will limit our study to the absolute value of...

Persistent link: https://www.econbiz.de/10012921588

Uniform estimate for randomly weighted sums of dependent subexponential random variables

Liu, Yan; Zhang, Qinqin - In: Asia-Pacific journal of risk and insurance : APJRI 9 (2015) 2, pp. 303-318

Persistent link: https://www.econbiz.de/10011407748

A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs

Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of banking & finance 125 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10012819586

Conditional value-at-risk forecasts of an optimal foreign currency portfolio

Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861

Persistent link: https://www.econbiz.de/10012792873

Limitations of portfolio diversification through fat tails of the return Distributions : some empirical evidence

Eom, Cheoljun; Kaizoji, Taisei; Livan, Giacomo; Scalas, … - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012821302

Moment component analysis : an illustration with international stock markets

Jondeau, Eric; Jurczenko, Emmanuel; Rockinger, Michael - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 4, pp. 576-598

Persistent link: https://www.econbiz.de/10012249215

Orthant-based variance decomposition in investment portfolios

Giner, Javier - In: European journal of operational research : EJOR 291 (2021) 2, pp. 497-511

Persistent link: https://www.econbiz.de/10012495336

Conditional fixed income correlations : skews and straddles

Aydemir, Zava - In: The journal of fixed income : JFI 30 (2021) 3, pp. 83-107

Persistent link: https://www.econbiz.de/10012423029

Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection

Stefanova, Denitsa - 2011

We solve for the optimal portfolio allocation in a setting where both conditional correlation and the clustering of … when dynamic conditional correlation has been accounted for, and vice versa. Both effects have distinct portfolio … both varying levels of average correlation and tail dependence coefficients …

Persistent link: https://www.econbiz.de/10013128428

Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations

Sleire, Anders D.; Støve, Bård; Otneim, Håkon; … - In: Finance research letters 46 (2022) 2, pp. 1-9

Persistent link: https://www.econbiz.de/10013342680