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Essays on asset and portfolio management : rethinking portfolio rebalancing
Wittig, Hagen - 2015
value-based rebalancing framework by setting the bandwidth weights in a non-static manner depending on current market … comparison to a buy and hold strategy, an idealized SAA strategy, as well as a rebalancing strategy with static bandwidths but …. In the second article, we present a rebalancing approach which applies the various asset classes' risk contributions to …
Persistent link: https://www.econbiz.de/10011418707
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On mutual funds-of-ETFs asset allocation with rebalancing : sample covariance versus EWMA and GARCH
Xidonas, Panos; Tsionas, Mike; Zopounidis, Constantin - 2020
Persistent link: https://www.econbiz.de/10012165614
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Volatility as an asset class : obvious benefits and hidden risks
Jabłecki, Juliusz; Kokoszczyński, Ryszard; Sakowski, … - 2015 - 1. ed.
Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no options at all -- Volatility derivatives in portfolio optimization -- Benefits of using volatility futures in investment strategies -- Predictive properties of the volatility term...
Persistent link: https://www.econbiz.de/10010528411
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Investing in volatility : analytical and empirical studies on the benefits of volatility exposure in equity portfolios
Kapraun, Julia - 2014
Persistent link: https://www.econbiz.de/10011566038
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Dynamische Portfolio-Selektion : eine Analyse unter Einbeziehung von Kurssprüngen und Transaktionskosten
Nietert, Bernhard - 1996
Persistent link: https://www.econbiz.de/10013420731
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Zeithorizontverhalten von Lower Partial Moments
Portmann, Thomas - 1999
Persistent link: https://www.econbiz.de/10013418032
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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
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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Reversing momentum : the optimal dynamic momentum strategy
Li, Kai; Liu, Jun - 2016
Persistent link: https://www.econbiz.de/10011777992
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An explicit solution for a portfolio selection problem with stochastic volatility
Sandjo, Albert Nana; Colin, Fabrice; Moutari, Salissou - In: Journal of mathematical finance 7 (2017) 1, pp. 199-218
Persistent link: https://www.econbiz.de/10011658467
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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