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Optimal risk budgeting under a finite investment horizon

López de Prado, Marcos M.; Vince, Ralph; Zhu, Qiji Jim - In: Risks : open access journal 7 (2019) 3/86, pp. 1-15

The Growth-Optimal Portfolio (GOP) theory determines the path of bet sizes that maximize long-term wealth. This multi …-horizon goal makes it more appealing among practitioners than myopic approaches, like Markowitz's mean-variance or risk parity. The … GOP literature typically considers risk-neutral investors with an infinite investment horizon. In this paper, we compute …

Persistent link: https://www.econbiz.de/10012126488

Risky risk measures : a note on underestimating financial risk under the normal assumption

Goodfellow, Christiane; Salm, Christian - In: Copernican Journal of Finance & Accounting : CJF&A 5 (2016) 2, pp. 85-108

Persistent link: https://www.econbiz.de/10012216155

An uncertainty quantification framework for the achievability of backtesting results of trading strategies

Chan, Raymond H.; Ma, Alfred Ka Chun; Yeung, Lanston … - In: The journal of investment strategies 6 (2017) 4, pp. 21-46

Persistent link: https://www.econbiz.de/10011771278

Model risk in risk models : quantifying statistical uncertainty in active risk

Khang, Kevin - In: The journal of portfolio management : JPM 47 (2021) 3, pp. 51-65

Persistent link: https://www.econbiz.de/10012423057

Investment strategy in Brazil's financial market : wide possibilities of choice between risk and return

Feijó, Ricardo - In: International journal of economics and finance 12 (2020) 8, pp. 40-51

Persistent link: https://www.econbiz.de/10012425900

Volatility modeling of the JSE all share index and risk estimation using the Bayesian and frequentist approaches

Sigauke, Casto - In: Economics, management and financial markets 11 (2016) 4, pp. 33-48

Persistent link: https://www.econbiz.de/10011868092

Optimizing tourist demands with utility efficient frontier

Rakotondramaro, Hanitra; Botti, Laurent - In: Tourism economics : the business and finance of tourism … 24 (2018) 2, pp. 157-166

Persistent link: https://www.econbiz.de/10011872529

Asymptotic dependence modelling of the BRICS stock markets

Sigauke, Caston; Mukhodobwane, Rosinah; Chagwiza, Wilbert; … - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-32

With the use of empirical data, this paper focuses on solving financial and investment issues involving extremal dependence of 10 pairwise combinations of the 5 BRICS (Brazil, Russia, India, China, and South Africa) stock markets. Daily closing equity indices from 5 January 2010 to 6 August 2018...

Persistent link: https://www.econbiz.de/10013368365

Market risk, value-at-risk and exponential weighting

Broll, Udo; Förster, Andreas - In: Economics and business review 8/22 (2022) 2, pp. 80-91

Persistent link: https://www.econbiz.de/10013369763

How fiduciary duty law incentivises investors to manage sustainability risks

Strakodonskaya, Liudmila - In: European journal of social security 23 (2021) 3, pp. 264-278

Persistent link: https://www.econbiz.de/10014476971