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Navigating inflation challenges : AI-based portfolio management insights

Bareith, Tibor; Tatay, Tibor; Vancsura, László - In: Risks : open access journal 12 (2024) 3, pp. 1-16

significantly in 2021. Inflation jumped to levels not seen for 40 years in the EU. Our study aims to use artificial intelligence to … forecast inflation. We also use artificial intelligence to forecast stock index changes. Based on the forecasts, we propose … portfolio reallocation decisions to protect against inflation. The forecasting literature does not address the importance of …

Persistent link: https://www.econbiz.de/10014497442

Portfolio selection with randomly time-varying first and second moments : the role of the instantaneous capital market line

Nielsen, Lars Tyge; Vassalou, Maria - 1998 - (Rev. version of 97/46/FIN)

Persistent link: https://www.econbiz.de/10000989380

Schätzung von variierenden Beta-Koeffizienten mit dem Kalman-Filter

Boos, Anna Carri - 1988

Persistent link: https://www.econbiz.de/10000746710

Large-dimensional factor modeling based on high-frequency observations

Pelger, Markus - In: Journal of econometrics 208 (2019) 1, pp. 23-42

Persistent link: https://www.econbiz.de/10012139775

Too good to be true? : fallacies in evaluating risk factor models

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2017

This paper is concerned with statistical inference and model evaluation in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments. Strikingly, when spurious factors (that is, factors that are uncorrelated with...

Persistent link: https://www.econbiz.de/10011757568