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Exponential high-frequency-based-volatility (EHEAVY) models
Xu, Yongdeng - 2022
. Out-of-sample forecast and portfolio exercise further shows the superior forecasting performance of the EHEAVY model, in …
Persistent link: https://www.econbiz.de/10013177995
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Uncertainty in the Black-Litterman model : a practical note
Fuhrer, Adrian; Hock, Thorsten - 2019 - Version: July 15, 2019
and incorporated consistently to arrive at and .These new parameters can then be used in the portfolio optimization … Kovarianz-Matrix weiterverarbeitet werden. Diese angepassten Parameter dienen dann als Ausgangspunkt fur die Portfolio …
Persistent link: https://www.econbiz.de/10012042184
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Stochastic informative expert system for investment
Rutkauskas, Aleksandras Vytautas; Stasytytė, Viktorija - In: Journal of business economics and management 21 (2020) 1, pp. 136-156
with that, rationally allocating investment resources. The proposed system is based on the adequate portfolio model … portfolio of the interaction of macroeconomic indicators with USA, UK, and Lithuanian data is developed. Such results could be …
Persistent link: https://www.econbiz.de/10012176194
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Naïve versus mean-variance diversification in Indian capital markets
Gupta, Mohit; Aggarwal, Navdeep - In: Asia-Pacific journal of management research and … 11 (2015) 3, pp. 198-204
Persistent link: https://www.econbiz.de/10011392084
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Dynamic asset allocation
Madhogarhia, Pawan K.; Lam, Marco - In: The journal of asset management 16 (2015) 5, pp. 293-302
Persistent link: https://www.econbiz.de/10011416515
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Innovative currency risk management : the new life of the monetary model
Dupuy, Philippe; Adjriou, Abdelak - In: The journal of asset management 16 (2015) 6, pp. 374-385
Persistent link: https://www.econbiz.de/10011416625
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Resource allocation patterns in a multi-project portfolio of engineering projects
Hegde, Vishwanath G.; Radovilsky, Zinovy; Nakayama, Edward - In: Journal of international business and economics : JIBE 14 (2014) 3, pp. 187-196
Persistent link: https://www.econbiz.de/10011283319
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Long-term strategic asset allocation : an out-of-sample evaluation
Diris, Bart; Palm, Franz C.; Schotman, Peter C. - In: Management science : journal of the Institute for … 61 (2015) 9, pp. 2185-2202
Persistent link: https://www.econbiz.de/10011372433
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Dynamic trading with reference point adaptation and loss aversion
Shi, Yun; Cui, Xiangyu; Yao, Jing; Li, Duan - In: Operations research 63 (2015) 4, pp. 789-806
Persistent link: https://www.econbiz.de/10011313231
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Optimal proportional reinsurance and investment under partial information
Peng, Xingchun; Hu, Yijun - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 416-428
Persistent link: https://www.econbiz.de/10010195913