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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
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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
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On the benefits of active stock selection strategies for diversified investors
Stadtmüller, Immo; Auer, Benjamin R.; Schuhmacher, Frank - In: The quarterly review of economics and finance : journal … 85 (2022), pp. 342-354
Persistent link: https://www.econbiz.de/10013336298
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Asset-liability management for pension funds in a time-varying volatility environment
Vrontos, Spyridon D.; Vrontos, Ioannis D.; … - In: The journal of asset management 14 (2013) 5, pp. 306-333
Persistent link: https://www.econbiz.de/10010237937
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Portfolio optimization and stochastic volatility asymptotics
Fouque, Jean-Pierre; Sircar, Kaushik Ronnie; … - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 704-745
Persistent link: https://www.econbiz.de/10011764969
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Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model : empirical evidence from ASEAN stock indexes
Sang Phu Nguyen; Toan Luu Duc Huynh - In: Quantitative finance and economics 3 (2019) 3, pp. 562-585
Persistent link: https://www.econbiz.de/10012176618
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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
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Mitigating estimation risk in asset allocation : diagonal models versus 1/N diversification
Stivers, Christopher T.; Sun, Licheng - In: The financial review : the official publication of the … 51 (2016) 3, pp. 403-433
Persistent link: https://www.econbiz.de/10011550915
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Smart indexing under regime-switching economic states
Edirisinghe, Chanaka; Zhao, Yonggan - In: Applied mathematical finance 27 (2020) 5, pp. 422-456
Persistent link: https://www.econbiz.de/10012501624
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Optimizing portfolio risk of cryptocurrencies using data-driven risk measures
Bowala, Sulalitha; Singh, Japjeet - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-16
Portfolio risk management plays an important role in successful investments. Portfolio standard deviation, value-at-risk …, expected shortfall, and maximum absolute deviation are widely used portfolio risk measures. However, the existing portfolio … risk measures are vulnerable to larger skewness and kurtosis of the asset returns. Moreover, the traditional assumption of …
Persistent link: https://www.econbiz.de/10013471488