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Norm constrained minimum variance portfolios with short selling

Dhingra, Vrinda; Gupta, S. K.; Sharma, Amita - In: Computational management science 20 (2023) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10014228494

An eigenvalue distribution derived "Stability Measure" for evaluating Minimum Variance portfolios

Smyth, William; Broby, Daniel - In: Quantitative finance 23 (2023) 3, pp. 521-537

Persistent link: https://www.econbiz.de/10014232686

Threshold Incentives and Sales Variance

Sohoni, Milind G.; Chopra, Sunil; Mohan, Usha; … - 2022

In this paper, we analyze the impact of two forms of commonly used threshold-based incentive schemes on the observed sales variability. The first form of the incentive comprises an additional marginal payment on crossing a specified sales threshold and the second form of the incentive scheme...

Persistent link: https://www.econbiz.de/10014235452

Does the realized distribution-based measure dominate particular moments? : evidence from cryptocurrency markets

Yang, Jen-Wei; Chiu, Shih-Yung; Yen, Kuang-Chieh - In: Finance research letters 51 (2023), pp. 1-9

Persistent link: https://www.econbiz.de/10014287045

Realized BEKK-CAW models

Asai, Manabu; So, Mike Ka-pui - In: Journal of time series econometrics 15 (2023) 1, pp. 49-77

Persistent link: https://www.econbiz.de/10014288366

Simple factor realized stochastic volatility models

Kawakatsu, Hiroyuki - In: Journal of time series econometrics 15 (2023) 1, pp. 79-110

Persistent link: https://www.econbiz.de/10014288373

Augmenting the Realized-GARCH : the role of signed-jumps, attenuation-biases and long-memory effects

Papantonis, Ioannis; Rompolis, Leonidas S.; Tzavalis, Elias - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 2, pp. 171-198

Persistent link: https://www.econbiz.de/10014288888

Robust mean-variance approximations

Cerreia-Vioglio, Simone; Maccheroni, Fabio; Marinacci, … - 2022 - This Version: December, 2022

Persistent link: https://www.econbiz.de/10014248315

Correlation versus co-fractality : evidence from foreign-exchange-rate variances

Grobys, Klaus - In: International review of financial analysis 86 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014248594

Package CovRegpy : Regularised Covariance Regression and Forecasting in Python

van Jaarsveldt, Cole; Peters, Gareth; Ames, Matthew; … - 2023

This paper will outline the functionality available in the CovRegpy package for actuarial practitioners, wealth managers, fund managers, and portfolio analysts written in Python 3.7. The major contributions of CovRegpy can be found in the CovRegpy_DCC.py, CovRegpy_IFF.py, CovRegpy_RCR.py,...

Persistent link: https://www.econbiz.de/10014253907