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Infinite portfolio strategies
LeRoy, Stephen F. - In: Contemporary economics 6 (2012) 4, pp. 54-60
In continuous-time stochastic calculus a limit in probability is used to extend the definition of the stochastic integral to the case where the integrand is not square-integrable at the endpoint of the time interval under consideration. When the extension is applied to portfolio strategies,...
Persistent link: https://www.econbiz.de/10009768154
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True Markowitz or assumptions we break and why it matters
Wilford, D. S. - In: Review of financial economics : RFE 21 (2012) 3, pp. 93-101
Persistent link: https://www.econbiz.de/10009703039
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The economics of conservation and finance : a review of the literature
Ando, Amy Whritenour; Shah, Payal - In: International review of environmental and resource economics 8 (2014) 3/4, pp. 321-357
Persistent link: https://www.econbiz.de/10011525904
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Diversity-weighted portfolios with negative parameter
Vervuurt, Alexander; Karatzas, Ioannis - In: Annals of finance 11 (2015) 3/4, pp. 411-432
Persistent link: https://www.econbiz.de/10011459422
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On the application of an Augmented Lagrangian algorithm to some portfolio problems
Birgin, Ernesto Julian Goldberg; Martínez Carrión, … - In: EURO journal on computational optimization 4 (2016) 1, pp. 79-92
Persistent link: https://www.econbiz.de/10011492600
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Portfolios for long-term investors
Cochrane, John H. - In: Review of finance : journal of the European Finance … 26 (2022) 1, pp. 1-42
Persistent link: https://www.econbiz.de/10012878869
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Robust portfolio optimization : a stochastic evaluation of worst-case scenarios
Rotella Junior, Paulo; Rocha, Luiz Célio Souza; … - 2022
This article presents a new approach for building robust portfolios based on stochastic efficiency analysis and periods … varying the level of probability in fulfilling the constraints (1-αi) of the CCDEA model. We show that the optimal portfolios …, allows us to build robust portfolios, with higher cumulative returns in the validation period, and portfolios with lower beta …
Persistent link: https://www.econbiz.de/10012807295
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Out-of-sample exchange rate predictability in emerging markets : fundamentals versus technical analysis
Jamali, Ibrahim; Yamani, Ehab - In: Journal of international financial markets, … 61 (2019), pp. 241-263
Persistent link: https://www.econbiz.de/10012128296
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The CAPM, national stock market betas, and macroeconomic covariates : a global analysis
Curran, Michael; Velic, Adnan - In: Open economies review 31 (2020) 4, pp. 787-820
Persistent link: https://www.econbiz.de/10012302138
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The zero-inflated promotion cure rate model applied to financial data on time-to-default
Oliveira, Mauro Ribeiro de <Jr.>; Moreira, Fernando; … - In: Cogent economics & finance 5 (2017) 1, pp. 1-14
In this paper, we extend the promotion cure rate model studied in Yakovlev and Tsodikov (1996) and Chen et al. (1999) by incorporating an excess of zeros in the modeling. Despite relating covariates to the cure fraction, the current approach does not enable us to relate covariates to the...
Persistent link: https://www.econbiz.de/10011886977