Narrow search
Showing 1 - 10 of 25,519
Cover Image
Averaging across asset allocation models
Schanbacher, Peter - In: Jahrbücher für Nationalökonomie und Statistik 235 (2015) 1, pp. 61-81
Persistent link: https://www.econbiz.de/10011430243
Cover Image
Combining portfolio models
Schanbacher, Peter - In: Annals of economics and finance 15 (2014) 2, pp. 433-455
Persistent link: https://www.econbiz.de/10010481154
Cover Image
Mean-variance & mean-VaR portfolio selection: A simulation based comparison in the Czech crisis environment
Parrák, Radovan; Seidler, Jakub - 2010
This paper focuses on two methods for optimum portfolio selection. We compare Mean-Variance method with Mean-VaR method by the means of investment simulation, based on Czech financial market data from turbulent market periods of the year 2007 and the year 2008. We compare both strategies, basing...
Persistent link: https://www.econbiz.de/10010322278
Cover Image
Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models
Nguyen, Hoang; Virbickaite, Audrone - 2022
Stock and oil relationship is usually time-varying and depends on the current economic conditions. In this study, we propose a new Dynamic Stochastic Mixed data frequency sampling (DSM) copula model, that decomposes the stock-oil relationship into a short-run dynamic stochastic component and a...
Persistent link: https://www.econbiz.de/10013258038
Cover Image
Quantitative Analysis of Modern Portfolio Theory for Diversification of Risk
Yadav, Himanshu - 2012
geographical diversification have been subjected to test. The validation of the said theory has been made via hypothesis testing in …
Persistent link: https://www.econbiz.de/10013102156
Cover Image
Regularized maximum diversification investment strategy
Koné, N'Golo - 2021
The maximum diversification portfolio as defined by Choueifaty (2011) depends on the vector of asset volatilities and … that the selected portfolio by regularization is asymptotically efficient with respect to the diversification ratio. In …
Persistent link: https://www.econbiz.de/10012395589
Cover Image
Regularized maximum diversification investment strategy
Koné, N'Golo - In: Econometrics : open access journal 9 (2021) 1/1, pp. 1-23
The maximum diversification has been shown in the literature to depend on the vector of asset volatilities and the … diversification ratio. In empirical and Monte Carlo experiments, the resulting regularized rules are compared to several strategies …
Persistent link: https://www.econbiz.de/10012404600
Cover Image
The maximum diversification investment strategy : a portfolio performance comparison
Theron, Ludan; Van Vuuren, Gary - In: Cogent economics & finance 6 (2018) 1, pp. 1-16
that MD portfolios exhibit greater diversification and a higher Sharpe ratio than other investment strategies, this was not …
Persistent link: https://www.econbiz.de/10011891272
Cover Image
The Curious Case of Portfolio Selection : Analysis of Correlations and Diversification over Time
Oskay, Bora - 2018
Persistent link: https://www.econbiz.de/10012913510
Cover Image
International diversification versus domestic diversification : mean-variance portfolio optimization and stochastic dominance approaches
Abid, Fathi; Leung, Pui-lam; Mroua, Mourad; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 7 (2014) 2, pp. 45-66
examine preferences for international diversification versus domestic diversification from American investors’ viewpoints. Our … PO results imply that the domestic diversification strategy dominates the international diversification strategy at a …
Persistent link: https://www.econbiz.de/10011553184