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Asset Allocation and Value at Risk in Shipping Equity Portfolios

Syriopoulos, Theodore - 2016

carefully selected sample of shipping stocks, in order to enhance asset allocation opportunities. As private and institutional … for shipping stock returns, in line with respective (tanker and dry bulk) earnings. Sectoral and company fundamentals may … affect shipping stock volatility, which is found to be sensitive to asymmetric shocks. The results support high portfolio …

Persistent link: https://www.econbiz.de/10012996560

Nested Conditional Value-at-Risk portfolio selection : a model with temporal dependence driven by market-index volatility

Staino, Alessandro; Russo, Emilio - In: European journal of operational research : EJOR 280 (2020) 2, pp. 741-753

Persistent link: https://www.econbiz.de/10012132469

Extreme dependence and risk spillovers across north american equity markets

Warshaw, Evan - In: The North American journal of economics and finance : a … 47 (2019), pp. 237-251

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Portfolio rebalancing based on time series momentum and downside risk

Guo, Xiaoshi; Ryan, Sarah M. - In: IMA journal of management mathematics 34 (2023) 2, pp. 355-381

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Extreme risk spillovers between stock and bond markets

Ning, Cathy Q.; Ponrajah, Jeremey - 2024

Persistent link: https://www.econbiz.de/10015052590

Investor sentiments and extreme risk spillovers from oil to stock markets : evidence from Asian countries

Wu, Fei; Ji, Qiang; Ma, Yan-Ran; Zhang, Dayong - In: Journal of the Asia Pacific economy 29 (2024) 3, pp. 1257-1283

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Multiscale financial risk contagion between international stock markets : evidence from EMD-Copula-CoVaR analysis

Changqing, Luo; Liu, Lan; Wang, Da - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-24

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Comparing the risk spillover from oil and gas to investment grade and high-yield bonds through optimal copulas

Rahman, Md Lutfur; Shahzad, Syed Jawad Hussain; Uddin, … - In: The energy journal 43 (2022) 1, pp. 215-239

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Managing downside risk of low-risk anomaly portfolios

Kim, Hyuksoo; Kim, Saejoon - In: Finance research letters 46 (2022) 2, pp. 1-11

Persistent link: https://www.econbiz.de/10013341589

The influence of direct cross-straits shipping on the smooth transition dynamics of stock volatilities of shipping companies

Liu, Hsian-hsi; Wu, Chun-chou; Su, Yi Kai - In: Applied financial economics 22 (2012) 16/18, pp. 1331-1342

Persistent link: https://www.econbiz.de/10009625372