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From log-optimal portfolio theory to risk measures : logarithmic expected shortfall
Arici, G.; Dalai, M.; Leonardi, Roberto - In: Journal of risk 22 (2019) 2, pp. 37-58
Persistent link: https://www.econbiz.de/10013177108
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"Best in class" socially responsible investment : the actual performance evaluation between the US and Europe
Burchi, Alberto; Włodarczyk, Bogdan - In: Journal of sustainable finance & investment 12 (2022) 2, pp. 275-298
Persistent link: https://www.econbiz.de/10013177364
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Does model complexity add value to asset allocation? : evidence from machine learning forecasting models
Kynigakis, Iason; Panopoulou, Ekaterini - In: Journal of applied econometrics 37 (2022) 3, pp. 603-639
Persistent link: https://www.econbiz.de/10013186705
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Combining the MGHyp Distribution with Nonlinear Shrinkage in Modeling Financial Asset Returns
Hediger, Simon; Näf, Jeffrey - 2022
The present paper combines nonlinear shrinkage with the Multivariate Generalized Hyperbolic (MGHyp) distribution to account for heavy tails in estimating the first and second moments in high dimensions. An Expectation-Maximization (EM) algorithm is developed that is fast, stable, and applicable...
Persistent link: https://www.econbiz.de/10013293614
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Dynamic utility and related nonlinear spdes driven by Lévy noise
Matoussi, Anis; Mrad, Mohamed - In: International journal of theoretical and applied … 25 (2022) 1, pp. 1-45
Persistent link: https://www.econbiz.de/10013189927
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Spillovers and portfolio optimization of precious metals and global/regional equity markets
Hernandez, Jose Arreola; Kang, Sang Hoon; Yoon, Seong-min - In: Applied economics 54 (2022) 20, pp. 2320-2342
Persistent link: https://www.econbiz.de/10012875943
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Portfolio optimization under mean-CVaR simulation with copulas on the Vietnamese stock exchange
Le Tuan Anh; Dao Thi Thanh Binh - In: Investment management and financial innovations 18 (2021) 2, pp. 273-286
Persistent link: https://www.econbiz.de/10012698623
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Using principal component analysis to estimate a highdimensional factor model with high-frequency data
Aït-Sahalia, Yacine; Xiu, Dacheng - 2017
Persistent link: https://www.econbiz.de/10012806600
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Islamic portfolio optimization under systemic risk : vine copula-CoVaR based model
Braiek, Sana; Bedoui, Rihab; Belkacem, Lotfi - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 1321-1339
Persistent link: https://www.econbiz.de/10012815058
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Nonlinear spillover and portfolio allocation characteristics of energy equity sectors : evidence from the United States and Canada
Hernandez, Jose Arreola; Kang, Sang Hoon; Yoon, Seong-min - In: Review of international economics 30 (2022) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10012815802