Showing 271 - 280 of 319
Persistent link: https://www.econbiz.de/10008322251
Persistent link: https://www.econbiz.de/10008064531
Persistent link: https://www.econbiz.de/10007028576
Persistent link: https://www.econbiz.de/10009177942
Persistent link: https://www.econbiz.de/10010023404
Persistent link: https://www.econbiz.de/10008392000
The purpose of this paper is to apply a belief rule-based (BRB) system to solve the multi-asset class portfolio optimisation problems. The BRB system, was developed on the basis of the concept of belief structures and the evidential reasoning (ER) approach, is a generic non-linear modelling and...
Persistent link: https://www.econbiz.de/10014044800
This study documents a positive relationship between the option-implied risk-neutral skewness (RNS) of individual stock returns' distribution and future realized stock returns during the period 1996-2012. A strategy that is long the quintile portfolio with the highest RNS stocks and short the...
Persistent link: https://www.econbiz.de/10013006588
We propose a non-parametric procedure for estimating systemic co-jumps and independent idiosyncratic jumps, and study associated news reported in Factiva and Bloomberg for thirty five stock markets from 1988 to 2014. Our results suggest that it is important to distinguish between systemic...
Persistent link: https://www.econbiz.de/10012963201
We propose the use of partial myopia as an alternative approach to dynamic programming for solving a multi-period investment problem with background risks. An investor behaves partially myopically if the investor makes his decision as if his total wealth at the end of the next period will be...
Persistent link: https://www.econbiz.de/10013027616