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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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"KLICing" there and back again : portfolio selection using the empirical likelihood divergence and Hellinger distance
Haley, M. Ryan; McGee, M. Kevin - In: Journal of empirical finance 18 (2011) 2, pp. 341-352
Persistent link: https://www.econbiz.de/10009301111
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Optimal portfolio selection using maximum entropy estimation accounting for the firm specific characteristics
Gong, Xue; Songsak Sriboonchitta - In: Econometrics of risk, (pp. 305-318). 2015
Persistent link: https://www.econbiz.de/10010498520
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Measuring financial interdependence in asset markets with an application to eurozone equities
Fry-McKibbin, Renée; Hsiao, Cody Yu-Ling; Martin, Vance - In: Journal of banking & finance 122 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012659252
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The RQE-CAPM : new insights about the pricing of idiosyncratic risk
Carmichael, Benoît; Koumou, Gilles Boevi; Moran, Kevin - 2021
Persistent link: https://www.econbiz.de/10012617687
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Asset allocation combining macro and micro information : empirical test based on entropy pool model
Li, Tianyuan; Chen, Ping - In: Finance research letters 64 (2024), pp. 1-7
Persistent link: https://www.econbiz.de/10014531769
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Does diversification of income source influences bank's risk-return characteristics? : evidence from the Indian market
Sharma, Shweta; Anand - In: International journal of Indian culture and business … 15 (2017) 3, pp. 350-379
Persistent link: https://www.econbiz.de/10011867256
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Portfolio volatility estimation relative to stock market cross-sectional intrinsic entropy
Vint̜e, Claudiu; Ausloos, Marcel - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-24
uses the cross-sectional intrinsic entropy (CSIE) model to estimate the cross-sectional volatility of the stock groups that …
Persistent link: https://www.econbiz.de/10014305795
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Real-time macroeconomic data and uncertainty
Glass, Katharina; Fritsche, Ulrich - 2015 - 2nd updated version
Most macroeconomic data is continuously revised as additional information becomes available. We suggest that revisions of data is an increasingly important source of uncertainty about the state of the economy and offer an alternative channel of uncertainty - data uncertainty. This paper adds on...
Persistent link: https://www.econbiz.de/10011298898
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Term structures of asset prices and returns
Backus, David; Boyarchenko, Nina; Chernov, Mikhail - 2016
We explore the term structures of claims to a variety of cash flows: U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). Average term...
Persistent link: https://www.econbiz.de/10011457568