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Network-based asset allocation strategies
Výrost, Tomas; Lyócsa, Štefan; Baumöhl, Eduard - 2018
portfolios, we propose simple adjustments to portfolio selection strategies that utilize centralization measures from financial … network-based asset allocation strategies improve key portfolio return characteristics in an out-of-sample framework, most … notably, risk and left-tail risk-adjusted returns. Resolving portfolio model selection uncertainties further improves risk …
Persistent link: https://www.econbiz.de/10011867877
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Measuring the effectiveness of ASEAN-5 initiatives from emerging market portfolio’s perspective
Robiyanto, Robiyanto; Nugroho, Bayu Adi; Handriani, Eka; … - In: Cogent Business & Management 10 (2023) 1, pp. 1-20
ASEAN nations started ASEAN Economic Community (AEC) initiatives, with the goal of improving the economic movement in ASEAN. The initiative is expected to lead to higher integration in the regions. The objective of this research was to study the integration of equity markets in the ASEAN-5...
Persistent link: https://www.econbiz.de/10014527800
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Network-based asset allocation strategies
Výrosta, Tomas; Lyócsa, Štefan; Baumöhl, Eduard - 2018
portfolios, we propose simple adjustments to portfolio selection strategies that utilize centralization measures from financial … network-based asset allocation strategies improve key portfolio return characteristics in an out-of-sample framework, most … notably, risk and left-tail risk-adjusted returns. Resolving portfolio model selection uncertainties further improves risk …
Persistent link: https://www.econbiz.de/10011877513
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Domestic versus International Portfolio Selection: A Statistical Examination of the Home Bias
Gorman, Larry R.; Jorgensen, Bjorn N. - In: Multinational Finance Journal 6 (2002) 3-4, pp. 131-166
The observed international home bias has traditionally been viewed as an anomaly. This paper provides statistical evidence contrary to this view within a mean-variance framework. Two methods of estimating the expected return and covariance parameters are investigated: (i) the traditional...
Persistent link: https://www.econbiz.de/10010937106
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Particularities of applying Modern Portfolio Theory on the Romanian capital market
Panait, Iulian; Diaconescu, Tiberiu - Volkswirtschaftliche Fakultät, … - 2012
This paper studies the particularities of portfolio selection on the Romanian stock market using the risk …
Persistent link: https://www.econbiz.de/10011258756
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Portfolio Selection:Application on International Stock Portfolios
Korkmaz, Turhan; Birkan, Elif - In: Istanbul Stock Exchange Review 10 (2010) 40, pp. 65-98
In this study, despite the increasing economic integration because of the globalization and technological improvement, whether emerging markets provides international diversification benefits to investors is examined. International diversified portfolios are created according to Markowitz’s...
Persistent link: https://www.econbiz.de/10010755736
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Measuring the effectiveness of ASEAN-5 initiatives from emerging market portfolio's perspective
Robiyanto, Robiyanto; Nugroho, Bayu Adi; Handriani, Eka; … - In: Cogent business & management 10 (2023) 1, pp. 1-20
ASEAN nations started ASEAN Economic Community (AEC) initiatives, with the goal of improving the economic movement in ASEAN. The initiative is expected to lead to higher integration in the regions. The objective of this research was to study the integration of equity markets in the ASEAN-5...
Persistent link: https://www.econbiz.de/10014460813
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Portfolio Selection:Application on International Stock Portfolios
Korkmaz, Turhan; Birkan, Elif - In: Istanbul Stock Exchange Review 10 (2008) 40, pp. 65-98
In this study, despite the increasing economic integration because of the globalization and technological improvement, whether emerging markets provides international diversification benefits to investors is examined. International diversified portfolios are created according to Markowitz’s...
Persistent link: https://www.econbiz.de/10010764169
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Cointegration Relations between Turkish and International Equity Markets and Portfolio Choices
Korkmaz, Turhan; Çevik, Emrah Ismail - In: Journal of BRSA Banking and Financial Markets 2 (2008) 1, pp. 59-84
, different international portfolio scenarios are created by using Markowitz mean-variance model. These findings suggest that … Turkish portfolio managers are able to monitor their asset allocations and minimize risks if they obtain a better …
Persistent link: https://www.econbiz.de/10008464861
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Sovereign Bonds since Waterloo
Meyer, Josefin; Reinhart, Carmen M.; Trebesch, Christoph - 2019
This paper studies external sovereign bonds as an asset class. We compile a new database of 220,000 monthly prices of foreign-currency government bonds traded in London and New York between 1815 (the Battle of Waterloo) and 2016, covering 91 countries. Our main insight is that, as in equity...
Persistent link: https://www.econbiz.de/10012263139