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Relationship between major developed equity markets and major : frontier equity markets of world
Baig, Muhammad Mansoor; Bilal, Muhammad; Aslam, Waheed - In: Acta Universitatis Danubius / Oeconomica 12 (2016) 1, pp. 182-196
Persistent link: https://www.econbiz.de/10011527086
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Market Timing with a Robust Moving Average
Zakamulin, Valeriy - 2015
In this paper we entertain a method of finding the most robust moving average weighting scheme to use for the purpose of timing the market. Robustness of a weighting scheme is defined its ability to generate sustainable performance under all possible market scenarios regardless of the size of...
Persistent link: https://www.econbiz.de/10013021961
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Robust stock and bond allocation with end-of-horizon effects
Dziecichowicz, Michael; Thiele, Aurélie C. - In: RAIRO / Operations research 53 (2019) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10012113607
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The application in the portfolio of China's a-share market with Fama-French five-factor model and the robust median covariance matrix
Chen, Xinming; Peng, Songlan; Gao, Ke; Qiao, Yankuo - In: International journal of economics, finance and … 5 (2017) 4, pp. 222-228
Persistent link: https://www.econbiz.de/10011784238
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Tail risk and robust portfolio decisions
Jin, Xing; Luo, Dan; Zeng, Xudong - In: Management science : journal of the Institute for … 67 (2021) 5, pp. 3254-3275
Persistent link: https://www.econbiz.de/10012581376
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Predicting stock realized variance based on an asymmetric robust regression approach
Zhang, Yaojie; He, Mengxi; Zhao, Yuqi; Hao, Xianfeng - In: Bulletin of economic research 75 (2023) 4, pp. 1022-1047
Persistent link: https://www.econbiz.de/10014435626
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Long-term performance evaluation : methodological issues and empirical applications
Hoechle, Daniel - 2007
Persistent link: https://www.econbiz.de/10003591346
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Potential losses from incorporating return predictability into portfolio allocation
Tang, Dragon Yongjun - In: Australian journal of management 39 (2014) 1, pp. 35-45
Persistent link: https://www.econbiz.de/10010353557
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Tail Risk and Robust Portfolio Decisions
Jin, Xing - 2020
-tailed jump size distributions governing these rare events pose further challenges to econometric estimation. This paper …
Persistent link: https://www.econbiz.de/10012855002
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A regime-switching factor model for mean-variance optimization
Costa, Giorgio; Kwon, Roy H. - In: Journal of risk 22 (2019/2020) 4, pp. 31-59
Persistent link: https://www.econbiz.de/10012297507