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Household portfolio choices under (non-)linear income risk : an empirical framework
Gálvez, Julio - 2023
Persistent link: https://www.econbiz.de/10014390538
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Bayesian inference for latent factor copulas and application to financial risk forecasting
Schamberger, Benedikt; Gruber, Lutz F.; Czado, Claudia - In: Econometrics : open access journal 5 (2017) 2, pp. 1-23
Factor modeling is a popular strategy to induce sparsity in multivariate models as they scale to higher dimensions. We develop Bayesian inference for a recently proposed latent factor copula model, which utilizes a pair copula construction to couple the variables with the latent factor. We use...
Persistent link: https://www.econbiz.de/10011654443
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On entropy and portfolio diversification
Pola, Gianni - In: The journal of asset management 17 (2016) 4, pp. 218-228
Persistent link: https://www.econbiz.de/10011504204
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Eccentricity in asset management
Kaya, Hakan - In: The journal of network theory in finance 1 (2015) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10011374587
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Current volatility as a measure of market risk
Kussy, Mikhail - In: International journal of risk assessment and management … 20 (2017) 4, pp. 333-349
Persistent link: https://www.econbiz.de/10011859119
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Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
Roux, Alet; Xu, Zhikang - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-45
Persistent link: https://www.econbiz.de/10013371223
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A generalized entropy approach to portfolio selection under a hidden markov model
MacLean, Leonard C.; Yu, Lijun; Zhao, Yonggan - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-25
Rényi entropy criterion, which summarizes the uncertainty in portfolio returns. Assuming asset returns are projected by a … regime-switching regression model on the two market risk factors, we develop an entropy-based dynamic portfolio selection … empirical Sharpe and return to entropy ratios, the dynamic portfolio under the proposed strategy is much improved in contrast …
Persistent link: https://www.econbiz.de/10013375264
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Tail risk exposures of hedge funds : evidence from unique Brazilian data
Almeida, Caio; Fernandes, Marcelo; Valente, Joao Paulo - In: Brazilian review of econometrics : BRE ; the review of … 41 (2021) 1, pp. 151-175
Persistent link: https://www.econbiz.de/10013382026
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A regime change : non-linearity in wealth and investment management
Uhl, Matthias; Rohner, Philippe - In: The journal of wealth management 22 (2019) 3, pp. 21-27
Persistent link: https://www.econbiz.de/10012135013
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Why are savings accounts perceived as risky bank products?
Džmuráňová, Hana; Teplý, Petr - In: Prague economic papers : a bimonthly journal of … 25 (2016) 5, pp. 617-633
Persistent link: https://www.econbiz.de/10011643672