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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 … volatility by providing less risky portfolios in comparison to Newton’s method, typically used for optimization under portfolio … theory. Research implications/limitations - The research emphasized that in order to get a more diversified investment …

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

Dynamische Portfolio-Selektion unter Berücksichtigung von Kurssprüngen

Nietert, Bernhard - 1998

Persistent link: https://www.econbiz.de/10000998162

Portfolio optimization under partial information: stochastic volatility in a hidden Markov model

Sass, Jörn; Haussmann, Ulrich G. - In: Operations research proceedings 2003 : selected papers …, (pp. 387-394). 2004

Persistent link: https://www.econbiz.de/10002072557

On regularized optimal execution problems and their singular limits

Souza, Max O.; Thamsten, Y. - In: Applied mathematical finance 29 (2022) 2, pp. 79-109

Persistent link: https://www.econbiz.de/10013554788

Currency Hedging Strategies Using Dynamic Multivariate GARCH

Chang, Chia-Lin - 2012

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of futures contracts. For this purpose, daily data of...

Persistent link: https://www.econbiz.de/10013113663

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Tansuchat, Roengchai - 2010

The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to calculate optimal portfolio weights and optimal hedge ratios, and...

Persistent link: https://www.econbiz.de/10013149486