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Risk Budgeting portfolios : existence and computation

Cetingoz, Adil Rengim; Fermanian, Jean-David; Guéant, … - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 896-924

Persistent link: https://www.econbiz.de/10014565279

Core earnings uncertainty, dividend change announcements and the reduction of covariance component risks

Dempsey, Stephen J.; Harrison, David M.; Sheng, Hainan - In: Journal of business finance & accounting : JBFA 42 (2015) 9/10, pp. 1075-1120

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Dynamic asset allocation with uncertain jump risks : a pathwise optimization approach

Jin, Xing; Luo, Dan; Zeng, Xudong - In: Mathematics of operations research 43 (2018) 2, pp. 347-376

Persistent link: https://www.econbiz.de/10011868609

On the threshold dividend strategy for a generalized jump : diffusion risk model

Chi, Yichun; Lin, X. Sheldon - In: Insurance / Mathematics & economics 48 (2011) 3, pp. 326-337

Persistent link: https://www.econbiz.de/10008989302

Fixed-mix rules in an evolutionary market using a factor model for dividends

Mavroudis, Konstantinos; Nolder, Craig A. - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1247-1277

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Underdiversification puzzle, volatility puzzle and equity premium puzzle : a common solution

Ardalan, Kavous - In: Studies in economics and finance 40 (2023) 2, pp. 249-265

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Sampling methods for investment portfolio formulation procedure at increased market volatility

Dzicher, Mateusz - In: Journal of economics & management 43 (2021) 1, pp. 70-89

overcome the risk of not receiving an optimal solution to the portfolio optimization (suboptimal outcomes of attribution of … empirical distribution or a theoretical distribution (mitigating estimation risk). All computational results are reported for … theory. Research implications/limitations - The research emphasized that in order to get a more diversified investment …

Persistent link: https://www.econbiz.de/10013166371

Data-driven distributionally robust CVaR portfolio optimization under a regime-switching ambiguity set

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Persistent link: https://www.econbiz.de/10014383458

Leverage and uncertainty

Turlakov, Mihail - In: The journal of investment strategies 6 (2017) 4, pp. 81-97

Persistent link: https://www.econbiz.de/10011771264

Asymmetric ambiguity spillover among international equity markets

Qin, Xiao; Wang, Yuwen - In: Applied economics letters 30 (2023) 13, pp. 1843-1849

Persistent link: https://www.econbiz.de/10014305155

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