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Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

Kim, Young Shin; Giacometti, Rosella; Račev, Svetlozar T. - 2012

. Based on the empirical evidence presented in this paper, our framework offers more realistic portfolio risk measures and a … more tractable method for portfolio optimization. -- portfolio risk ; portfolio optimization ; portfolio budgeting …

Persistent link: https://www.econbiz.de/10009576319

Hedging Size Risk : Theory and Application to the US Gas Market

Roncoroni, Andrea - 2017

components (e.g., volume, load, or business turnover). We design a customized contract to optimally mitigate the risk of joint … optimal custom hedge could be adopted as a benchmark for the relative assessment of any risk management solution …

Persistent link: https://www.econbiz.de/10012969111

Long-horizon asset and portfolio returns revisited : evidence from US markets

Tri Hoang - In: Cogent business & management 10 (2023) 2, pp. 1-16

This study revisits the widely used assumptions in long-term asset allocation: the normal distribution of long-horizon returns and the negligible impacts of estimation errors on the expected returns. This study uses the innovative simulation method of Fama and French (2018) for horizons of up to...

Persistent link: https://www.econbiz.de/10014503297