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Reversing momentum : the optimal dynamic momentum strategy
Li, Kai; Liu, Jun - 2016
Persistent link: https://www.econbiz.de/10011777992
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Detecting prudence and temperance in risk exposure : the hybrid variance framework
Gao, Jun; Gao, Xiang; Liu, Xiaoli; Wang, Zhan - In: Journal of risk 24 (2022) 5, pp. 75-88
Persistent link: https://www.econbiz.de/10014546352
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Data-driven distributionally robust CVaR portfolio optimization under a regime-switching ambiguity set
Pun, Chi Seng; Wang, Tianyu; Yan, Zhenzhen - In: Manufacturing & service operations management : M & SOM 25 (2023) 5, pp. 1779-1795
Persistent link: https://www.econbiz.de/10014383458
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Portfolio optimization under volatility and shortfall constraints
Kalin, Dieter; Zagst, Rudi - 1995
Persistent link: https://www.econbiz.de/10000955547
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Asset allocation with a high dimensional latent factor stochastic volatility model
Han, Yufeng - In: The review of financial studies 19 (2006) 1, pp. 237-271
Persistent link: https://www.econbiz.de/10003325179
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Optimal portfolio management in highly volatile markets
Stoyanov, Stoyan Veselinov - 2005
Persistent link: https://www.econbiz.de/10003346695
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Dynamic consumption and asset allocation with derivative securities
Hsuku, Yuan-Hung - In: Quantitative fund management, (pp. 43-66). 2009
Persistent link: https://www.econbiz.de/10003796940
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Volatility-induced financial growth
Dempster, Michael A. H.; Evstigneev, Igor V.; … - In: Quantitative fund management, (pp. 67-84). 2009
Persistent link: https://www.econbiz.de/10003796944
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Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669351
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Growing wealth with fixed-mix strategies
Dempster, Michael A. H.; Evstigneev, Igor V.; … - 2009
This chapter surveys theoretical research on the long-term performance of fixed-mix investment strategies. These self-financing strategies rebalance the portfolio over time so as to keep constant the proportions of wealth invested in various assets. The main result is that wealth can be grown...
Persistent link: https://www.econbiz.de/10003971114