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Safety-first and portfolio selection : an econometric study for Pakistan's banking sector

Ford, James L.; Muhammad, Zahid - 2010

Persistent link: https://www.econbiz.de/10009374210

Is a night better than a day : empirical evidence

Deshkovski, A.; Dzeshkovskaia, A. - In: Cogent economics & finance 2 (2014) 1, pp. 2-10

In this study, we analyze the portfolio allocation based on time asymmetry of stock characteristics. In particular, we analyzed the empirical data of changes in financial stock prices during the day period and during the night period and have found that characteristics such as mean and variance...

Persistent link: https://www.econbiz.de/10010474316

Polynomial optimization : matrix factorization ranks, portfolio selection, and queueing theory

Steenkamp, Andries - 2023

Persistent link: https://www.econbiz.de/10014388473

Return distribution predictability and its implications for portfolio selection

Zhu, Min - In: International Review of Economics & Finance 27 (2013) C, pp. 209-223

The inquiries to return predictability are traditionally limited to conditional mean, while literature on portfolio selection is replete with moment-based analysis with up to the fourth moment being considered. This paper develops a distribution-based framework for both return prediction and...

Persistent link: https://www.econbiz.de/10010664330

A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default

Maciag, Jakob; Löderbusch, Matthias - In: The journal of credit risk : published quarterly by … 13 (2017) 4, pp. 37-74

Persistent link: https://www.econbiz.de/10012041612

Portfolio management with tail dependence

Bergmann, Daniel Reed; Savoia, José Roberto Ferreira; … - In: Applied economics 50 (2018) 51, pp. 5510-5520

Persistent link: https://www.econbiz.de/10012062255

Evaluation of multivariate GARCH models in an optimal asset allocation framework

Nor Syahilla Abdul Aziz; Vrontos, Spyridon; Hasim, … - In: The North American journal of economics and finance : a … 47 (2019), pp. 568-596

Persistent link: https://www.econbiz.de/10012120131

Market-risk optimization among the developed and emerging markets with cvar measure and copula simulation

Trabelsi, Nader; Tiwari, Aviral Kumar - In: Risks : open access journal 7 (2019) 3/78, pp. 1-20

In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value …-at-risk (CVaR) portfolio problem. Particularly, this approach used (i) copula to model the complete linear and non … minimizing CVaR measure and simulated copula returns combined outperforms the risk/return of domestic portfolios, such as the US …

Persistent link: https://www.econbiz.de/10012127555

Dependent frequency-severity modeling of insurance claims

Shi, Peng; Feng, Xiaoping; Ivantsova, Anastasia - In: Insurance / Mathematics & economics 64 (2015), pp. 417-428

Persistent link: https://www.econbiz.de/10011398126

Modeling the dependence structures of financial assets through the Copula Quantile-on-Quantile approach

Sim, Nicholas - In: International review of financial analysis 48 (2016), pp. 31-45

Persistent link: https://www.econbiz.de/10011624367

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