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New operational approaches for financial modelling
Zopounidis, Constantin (ed.) - 1997
Persistent link: https://www.econbiz.de/10014267884
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Asset Allocation Ansätze zur Bildung von internationaldiversifizierten Portfolios : eine Analyse auf Basis historischer Daten
Eberhard, Jochen - 2012
Persistent link: https://www.econbiz.de/10013436405
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Risk and performance evaluation with skewness and kurtosis for conventional and alternative investments
Berényi, Zsolt Endre - 2003
Persistent link: https://www.econbiz.de/10001754325
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Nichtparametrische integrierte Rendite- und Risikoprognosen im Asset Management mit Hilfe von Prädiktorselektionsverfahren
Hildebrandt, Johannes - 2009 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003884140
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Risk, return and international portfolio diversification : K-means clustering data
Dziuba, Pavlo; Glukhova, Darya; Shtogrin, Kyryl - In: Baltic Journal of Economic Studies 8 (2022) 3, pp. 53-64
Persistent link: https://www.econbiz.de/10013448685
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Parameter Uncertainty in Multiperiod Portfolio Optimization with Transaction Costs
DeMiguel, Victor - 2014
We study the impact of parameter uncertainty on the expected utility of a multiperiod investor subject to quadratic transaction costs. We characterize the utility loss associated with ignoring parameter uncertainty, and show that it is equal to the product between the single-period utility loss...
Persistent link: https://www.econbiz.de/10013063484
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Characteristics-based portfolio choice with leverage constraints
Ammann, Manuel; Coqueret, Guillaume; Schade, Jan-Philip - In: Essays on factor investing and social trading, (pp. 2-47). 2017
Volatilität und das Risiko einer falschen Parameterspezifzierung deutlich reduziert werden. Des Weiteren ermöglicht die …
Persistent link: https://www.econbiz.de/10011775041
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Modelling dynamic portfolio risk using risk drivers of elliptical processes
Schmidt, Rafael (contributor);  … - 2007
The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation …, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical … selected macroeconomic variables. These findings may improve the estimation of risk measures such as the (portfolio) Value at …
Persistent link: https://www.econbiz.de/10003477096
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Real effects of financial market integration : does lower home bias lead to welfare benefits?
Pungulescu, Crina - In: The European journal of finance 21 (2015) 10/12, pp. 893-911
Persistent link: https://www.econbiz.de/10011301973
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Modelling dynamic portfolio risk using risk drivers of elliptical processes
Schmidt, Rafael; Schmieder, Christian - In: Insurance / Mathematics & economics 44 (2009) 2, pp. 229-244
Persistent link: https://www.econbiz.de/10009517641