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Multi-Asset portfolio optimization with stochastic Sharpe ratio under drawdown constraint
Biswas, Subhojit; Jawaid, Saif; Mukherjee, Diganta - In: Annals of financial economics 15 (2020) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10012642950
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Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
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Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility
Yan, Tingjin; Han, Bingyan; Pun, Chi Seng; Wong, Hoi Ying - In: Mathematics and financial economics 14 (2020) 4, pp. 699-724
Persistent link: https://www.econbiz.de/10012321867
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Joint tails impact in stochastic volatility portfolio selection models
Bonomelli, Marco; Giacometti, Rosella; Ortobelli Lozza, … - In: Stochastic optimization: theory and applications, (pp. 833-848). 2020
Persistent link: https://www.econbiz.de/10012290845
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Forecasting market risk of portfolios: copula-Markov switching multifractal approach
Segnon, Mawuli; Trede, Mark - In: The European journal of finance 24 (2018) 14, pp. 1123-1143
Persistent link: https://www.econbiz.de/10012258877
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Determinants of asymmetric return comovements of gold and other financial assets
Poshakwale, Sunil S.; Mandal, Anandadeep - In: International review of financial analysis 47 (2016), pp. 229-242
Persistent link: https://www.econbiz.de/10011624131
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Volatility vs. downside risk : optimally protecting against drawdowns and maintaining portfolio performance
Barro, Diana; Canestrelli, Elio; Lanza, Fabio - 2014
Persistent link: https://www.econbiz.de/10011632160
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Optimal pairs trading with time-varying volatility
Li, Thomas Nanfeng; Tourin, Agnès - In: International journal of financial engineering 3 (2016) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10011588167
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Volatility versus downside risk : performance protection in dynamic portfolio strategies
Barro, Diana; Canestrelli, Elio; Consigli, Giorgio - In: Computational Management Science : CMS 16 (2019) 3, pp. 433-479
Persistent link: https://www.econbiz.de/10012053148
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Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
Wang, Hao; Wang, Rongming; Wei, Jiaqin - In: Insurance / Mathematics & economics 85 (2019), pp. 104-114
Persistent link: https://www.econbiz.de/10011990618