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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 … model constrained with the wealth surplus being greater than or equal to the shortfall over a target and the probability of …
Persistent link: https://www.econbiz.de/10013375264
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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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Shortfall minimization and the Naive (1/N) portfolio : an out-of-sample comparison
Haley, M. Ryan - In: Applied economics letters 23 (2016) 13/15, pp. 926-929
Persistent link: https://www.econbiz.de/10011629219
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Tail risk in energy portfolios
González-Pedraz, Carlos; Moreno, Manuel; Peña … - In: Energy economics 46 (2014), pp. 422-434
Persistent link: https://www.econbiz.de/10011298962
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Aversion to risk and downside risk in the large and in the small under non-expected utility : a quantile approach
Chavas, Jean-Paul; Kim, Kwan-soo - In: Theoretical economics letters 5 (2015) 6, pp. 784-804
Persistent link: https://www.econbiz.de/10011439614
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Modeling and forecasting macroeconomic downside risk
Delle Monache, Davide; De Polis, Andrea; Petrella, Ivan - 2021
Persistent link: https://www.econbiz.de/10012612441
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Downside beta and downside gamma : in search for a better capital asset pricing model
Kazmi, Madiha; Noreen, Umara; Jadoon, Imran Abbas; … - In: Risks : open access journal 9 (2021) 12, pp. 1-14
capital asset pricing model. These models are CAPM's beta, beta replaced by skewness (gamma), CAPM's beta with gamma, downside …
Persistent link: https://www.econbiz.de/10012794199