Similar Search Results

Narrow search

Optimal portfolio management when stocks are driven by mean reverting processes

Mbigili, Lusungu Julius; Mataramvura, Sure; Charles, … - In: Journal of mathematical finance 10 (2020) 1, pp. 10-26

Persistent link: https://www.econbiz.de/10012545303

Risk management for sustainable sovereign debt financing

Zenios, Stauros Andrea; Consiglio, Andrea; … - In: Operations research 69 (2021) 3, pp. 755-773

Persistent link: https://www.econbiz.de/10012546866

Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? : portfolio construction from the perspective of a Polish investor

Latoszek, Michał; Ślepaczuk, Robert - In: Economics and business review 6/20 (2020) 1, pp. 46-81

Persistent link: https://www.econbiz.de/10012550231

Fundamental analysis and mean-variance optimal portfolios

Lyle, Matthew R.; Yohn, Teri Lombardi - In: The accounting review : a publication of the American … 96 (2021) 6, pp. 303-327

Persistent link: https://www.econbiz.de/10012703031

The low-volatility anomaly revisited

Perras, Patrizia Julia; Reberger, Alexander; Wagner, … - In: Credit and capital markets : Kredit und Kapital 53 (2020) 2, pp. 221-244

Persistent link: https://www.econbiz.de/10012510335

Using a mean changing stochastic processes exit-entry model for stock market long-short prediction

Lleo, Sébastien; Zhitlukhin, M. V.; Ziemba, William T. - 2021

Persistent link: https://www.econbiz.de/10012520206

Optimizing the market-risk of major cryptocurrencies using CVaR measure and copula simulation

Pradhan, Ashis Kumar; Mittal, Ishan; Tiwari, Aviral Kumar - In: Macroeconomics and finance in emerging market economies 14 (2021) 3, pp. 291-307

Persistent link: https://www.econbiz.de/10012649582

Mixture of consistent stochastic utilities, and a priori randomness

Mrad, Mohamed - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10012650235

Essays on asset pricing and portfolio optimization

Koeppel, Christian - 2021

WThis doctoral thesis focuses on the effects of investor sentiment on asset pricing and the challenges of portfolio optimization under parameter uncertainty. The ﬁrst essay "Sentiment risk premia in the cross-section of global equity" applies a recently developed sentiment proxy to the...

Persistent link: https://www.econbiz.de/10012651028

Coherent risk measures and normal mixture distributions with applications in portfolio optimization

Shi, Xiang; Kim, Young Shin - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10012652709

A service of the

zbw