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Regime Shifts in Mean-Variance...
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1
Regime shifts in mean-variance efficient frontiers : some international evidence
Guidolin, Massimo
;
Ria, Federica
-
2010
equity portfolio
diversification
that substantial differences exist between bull and bear regime-specific frontiers, both in …-Variance Optimization ; Asset Allocation ; International Portfolio
Diversification
. …
Persistent link: https://www.econbiz.de/10008990692
Saved in:
2
Regime shifts in mean-variance efficient frontiers : some international evidence
Guidolin, Massimo
;
Ria, Federica
-
2010
Persistent link: https://www.econbiz.de/10008668594
Saved in:
3
Regime shifts in mean-variance efficient frontiers : some international evidence
Guidolin, Massimo
;
Ria, Federica
- In:
The journal of asset management
12
(
2011
)
5
,
pp. 322-349
Persistent link: https://www.econbiz.de/10009377003
Saved in:
4
Regime Shifts in Mean-Variance Efficient Frontiers : Some International Evidence
Guidolin, Massimo
-
2010
equity portfolio
diversification
that substantial differences exist between bull and bear regime-specific frontiers, both in …
Persistent link: https://www.econbiz.de/10013135227
Saved in:
5
A Multivariate Approach for the Simultaneous Modelling of Market Risk and Credit Risk for Cryptocurrencies
Fantazzini, Dean
-
2019
This paper proposes a set of models which can be used to estimate the market risk for a portfolio of crypto-currencies, and simultaneously to estimate also their credit risk using the Zero Price Probability (ZPP) model by Fantazzini et al (2008), which is a methodology to compute the...
Persistent link: https://www.econbiz.de/10012863029
Saved in:
6
Asset
diversification
versus climate action
Hambel, Christoph
;
Kraft, Holger
;
Ploeg, Frederick van der
-
2020
. In the longer run, however, a trade-off between
diversification
and climate action emerges. We derive the optimal carbon …
Persistent link: https://www.econbiz.de/10012258563
Saved in:
7
A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper
Gribisch, Bastian
-
2013
This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...
Persistent link: https://www.econbiz.de/10010341025
Saved in:
8
The
Time
Contradiction (in Asset Management and Asset Pricing) Between Investor Decision Horizons and
Time
Needed to Establish Skill
Muralidhar, Arun
-
2017
much
time
does one need to establish a successful investment outcome as opposed to just experiencing noise? A simple … suggests that the
time
window to have high confidence in the efficacy of the approach utilized by most investors is much … greater than the typical horizon of these approaches – this is the
time
contradiction in investments. Alternatively, for a …
Persistent link: https://www.econbiz.de/10012971837
Saved in:
9
Value, Momentum and Market Timing
Filippou, Ilias
-
2016
We study firm-level characteristics that a manager would employ as signalling tools in order to
time
the market (i …
time
-variation of the strategies providing a unique explanation for momentum crashes …
Persistent link: https://www.econbiz.de/10013005248
Saved in:
10
Tactical Timing of Low Volatility Equity Strategies
De Boer, Sanne
-
2014
Many investors we speak to are interested in making a strategic allocation to low volatility equities to help them better meet their investment objectives. The appeal of this strategy is clear. Low volatility stocks have historically delivered higher returns with lower risk than the...
Persistent link: https://www.econbiz.de/10013047895
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