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Portfolio optimization : application of the Markowitz model using lagrange and profitability forecast

Brătian, Vasile - In: Expert journal of economics 6 (2018) 1, pp. 26-34

This paper presents the theoretical and applicative model elaborated by Harry Markowitz on the determination of the structure of the efficient securities portfolio. In this sense, in order to determine the structure of the efficient Markowitz portfolio (PE), a Lagrange function is built and...

Persistent link: https://www.econbiz.de/10012062904

On downside risk predictability through liquidity and trading activity : a dynamic quantile approach

Rubia, Antonio; Sanchis-Marco, Lidia - In: International journal of forecasting 29 (2013) 1, pp. 202-219

Persistent link: https://www.econbiz.de/10009706161

Liquidity provision and cross arbitrage in continuous double-auction prediction markets

Antweiler, Werner - In: The journal of prediction markets 7 (2013) 3, pp. 61-86

Persistent link: https://www.econbiz.de/10010342032

The role of trading volume in forecasting market risk

Slim, Skander - In: Inventi impact: international trade (2016) 3, pp. 169-181

Persistent link: https://www.econbiz.de/10011567980

The impact of Predictable Trades on IVOL, Liquidity Risk, and Liquidity Commonality

Kedar-Levy, Haim; Kim, Seok Joong; Yoo, Sean Sehyun - 2021

volatility, liquidity risk and liquidity commonality. The measures indicate whether each of our nine investor types persistently … volatility. Liquidity risk is driven by the positive-feedback trades of foreigners and local institutions. Local individuals …’ contrarian trades Granger-cause liquidity commonality. We conclude that persistent trading strategies are important demand …

Persistent link: https://www.econbiz.de/10013215440

Stylized algorithmic trading : satisfying the predictive near-term demand of liquidity

Sun, Edward W.; Kruse, Timm; Chen, Yi-Ting - In: Decision making and risk/return optimization in …, (pp. 315-347). 2019

Persistent link: https://www.econbiz.de/10012134866

Liquidity and realized covariance forecasting : a hybrid method with model uncertainty

Qiao, Gaoxiu; Cao, Yangli; Ma, Feng; Li, Weiping - In: Empirical economics : a quarterly journal of the … 64 (2023) 1, pp. 437-463

Persistent link: https://www.econbiz.de/10014226295

Predictable losses of liquidity provision in constant function markets and concentrated liquidity markets

Cartea, Álvaro; Drissi, Fayçal; Monga, Marcello - In: Applied mathematical finance 30 (2023) 2, pp. 69-93

Persistent link: https://www.econbiz.de/10014443350

Incorporating signals into optimal trading

Lehalle, Charles-Albert; Neuman, Eyal - In: Finance and stochastics 23 (2019) 2, pp. 275-311

Persistent link: https://www.econbiz.de/10012023738

Why does higher variability of trading activity predict lower expected returns?

Barinov, Alexander - In: Journal of banking & finance 58 (2015), pp. 457-470

Persistent link: https://www.econbiz.de/10011544044

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