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Portfolio optimization using cellwise robust association measures and clustering methods with application to highly volatile markets

Menvouta, Emmanuel Jordy; Serneels, Sven; Verdonck, Tim - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-13

This paper introduces the minCluster portfolio, which is a portfolio optimization method combining the optimization of downside risk measures, hierarchical clustering and cellwise robustness. Using cellwise robust association measures, the minCluster portfolio is able to retrieve the underlying...

Persistent link: https://www.econbiz.de/10014514018

Modeling of factors affecting investment behavior during the pandemic : a grey-DEMATEL approach

Ritika; Himanshu; Kishor, Nawal - In: Journal of financial services marketing 28 (2023) 2, pp. 222-235

Persistent link: https://www.econbiz.de/10014326855

Outlier-robust methods for forecasting realized covariance matrices

Li, Dan; Drovandi, Christopher; Clements, Adam - In: International journal of forecasting 40 (2024) 1, pp. 392-408

Persistent link: https://www.econbiz.de/10014450278

Variable tradeoff between diversification and volatility on risk-averse approaches to crypto allocation for Indian retail investors

Agarwal, Ajay - In: Advances in Management Research : Emerging Challenges …, (pp. 210-228). 2022

Persistent link: https://www.econbiz.de/10014434884

Dynamics of a newly established agricultural commodities market : financialization, hedging and portfolio diversification in Turkey

Acikgoz, Turker; Alp, Ozge Sezgin; Alkan, Nazlan Belemir - In: Annals of financial economics 18 (2023) 3, pp. 1-33

Persistent link: https://www.econbiz.de/10014442630

Machine learning portfolio allocation

Pinelis, Michael; Ruppert, David - In: The Journal of finance and data science : JFDS 8 (2022), pp. 35-54

the market index and risk-free asset. Optimal portfolio rules for time-varying expected returns and volatility are … including payout yields. The second is used to estimate the prevailing volatility. Reward-risk timing with machine learning … presents a unifying framework for machine learning applied to both return- and volatility-timing. …

Persistent link: https://www.econbiz.de/10014433682

Modeling the optimal portfolio : the case of the largest European stock exchanges

Aliu, Florin; Nuhiu, Artor; Krasniqi, Besnik A.; Aliu, … - In: Comparative economic research : Central and Eastern Europe 23 (2020) 2, pp. 41-51

Portfolio optimization is the main concern for portfolio managers. Financial securities are placed within the portfolio based on the investor’s risk tolerance. The study measures the risk-reward relationship when the number of stocks in the portfolio increases. Six diverse portfolios have been...

Persistent link: https://www.econbiz.de/10012417505

Study of BRICS stock return volatility during and after subprime crisis

Kishor, Nawal; Singh, Raman Preet - In: International journal of business and globalisation : IJBG 18 (2017) 2, pp. 233-250

Persistent link: https://www.econbiz.de/10011800038

A investigation into share prices' conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt

Ejaz, Abdullah; Polak, Petr; Imran, Zulfiqar Ali - In: Management : journal of contemporary management issues 26 (2021) 1, pp. 189-200

Persistent link: https://www.econbiz.de/10012659646

Investing in volatility : analytical and empirical studies on the benefits of volatility exposure in equity portfolios

Kapraun, Julia - 2014

Persistent link: https://www.econbiz.de/10011566038