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Portfolio optimization using cellwise robust association measures and clustering methods with application to highly volatile markets

Menvouta, Emmanuel Jordy; Serneels, Sven; Verdonck, Tim - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-13

This paper introduces the minCluster portfolio, which is a portfolio optimization method combining the optimization of downside risk measures, hierarchical clustering and cellwise robustness. Using cellwise robust association measures, the minCluster portfolio is able to retrieve the underlying...

Persistent link: https://www.econbiz.de/10014514018

Large-dimensional portfolio selection with a high-frequency-based dynamic factor model

Tranberg Bodilsen, Simon - 2025

Persistent link: https://www.econbiz.de/10015339181

The Mathematics of Idiosyncratic Volatility and the Small Firm Effect : Australian Evidence

Dempsey, Michael J. - 2011

In the context of Australian stockmarkets, we examine the relationship between a stock's return performance, the stock idiosyncratic volatility, and the firm's market capitalization. The paper's main conclusions may be summarized as follows. The stocks of the smallest firms markedly outperform...

Persistent link: https://www.econbiz.de/10013123267

The COVID-19 outbreak and risk-return spillovers between main and SME stock markets in the Mena region

Al-Nassar, Nassar S.; Makram, Beljid - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-28

and medium-sized enterprise (SME) stock markets in Saudi Arabia and Egypt for the periods before and during the COVID-19 … spillovers between the main and SME stock markets are limited to Saudi Arabia, shock and volatility spillovers have different … characteristics and dynamics in both main-SME market pairs. In addition, the dynamic correlations between the main and SME markets are …

Persistent link: https://www.econbiz.de/10012804860

Spillovers and portfolio optimization of precious metals and global/regional equity markets

Hernandez, Jose Arreola; Kang, Sang Hoon; Yoon, Seong-min - In: Applied economics 54 (2022) 20, pp. 2320-2342

Persistent link: https://www.econbiz.de/10012875943

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

Strategic asset allocation and Markov Regime Switch with GARCH

Simi, Wei W. - In: The journal of business and economic studies 19 (2013) 1, pp. 41-51

Persistent link: https://www.econbiz.de/10009776452

The effects of long memory in price volatility of inventories pledged on portfolio optimization of supply chain finance

Juan, He; Wang, Jian; Xianglin, Jiang - In: Journal of mathematical finance 6 (2016) 1, pp. 134-155

Persistent link: https://www.econbiz.de/10011543832

The dynamic Black-Litterman approach to asset allocation

Harris, Richard D. F.; Stoja, Evarist; Tan, Linzhi - 2016

Persistent link: https://www.econbiz.de/10011480647

Do high-frequency data improve high-dimensional portfolio allocations?

Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - In: Journal of applied econometrics 30 (2015) 2, pp. 263-290

Persistent link: https://www.econbiz.de/10011327609