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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
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Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta; Omori, Yasuhiro - 2021
Persistent link: https://www.econbiz.de/10013339035
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Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta; Omori, Yasuhiro - 2020
Persistent link: https://www.econbiz.de/10013335000
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Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta; Omori, Yasuhiro - In: Econometric reviews 42 (2023) 6, pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
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Stochastic volatility modelling in portfolio selection via sequential Monte Carlo simulation
Nascimento, Igor Ferreira do; Albuquerque, Pedro H.; … - In: International journal of portfolio analysis and … 2 (2021) 3, pp. 249-267
Persistent link: https://www.econbiz.de/10012595961
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Joint tails impact in stochastic volatility portfolio selection models
Bonomelli, Marco; Giacometti, Rosella; Ortobelli Lozza, … - In: Stochastic optimization: theory and applications, (pp. 833-848). 2020
Persistent link: https://www.econbiz.de/10012290845
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On ruin probabilities with investments in a risky asset with a regime-switching price
Kabanov, Jurij M.; Pergamenščikov, Sergej M. - In: Finance and stochastics 26 (2022) 4, pp. 877-897
Persistent link: https://www.econbiz.de/10013440255
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A theory of misperception in a stochastic dominance framework and its application to structured financial products
Castellano, Rosella; Cerqueti, Roy - In: IMA journal of management mathematics 29 (2018) 1, pp. 23-37
Persistent link: https://www.econbiz.de/10011858928
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A bayesian approach to measurement of backtest overfitting
Witzany, Jiří - In: Risks : open access journal 9 (2021) 1/18, pp. 1-22
approach that yields the desired robust estimates on the basis of a Markov chain Monte Carlo (MCMC) simulation. The approach is …
Persistent link: https://www.econbiz.de/10012423034
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Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility
Kim, Ha Young; Viens, Frederi G. - In: Annals of finance 8 (2012) 2/3, pp. 405-425
Persistent link: https://www.econbiz.de/10009548076