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A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances

Kizys, Renatas; Doering, Jana; Juan, Angel A.; Polat, Onur - In: Computers & operations research : and their … 139 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013342721

Efficient model points selection in insurance by parallel global optimization using multi CPU and multi GPU

Ferreiro-Ferreiro, Ana Maria; García-Rodríguez, José … - In: Business & information systems engineering 62 (2020) 1, pp. 5-20

Persistent link: https://www.econbiz.de/10012221971

Impending doom : the loss of diversification before a crisis

Yang, Libin; Rea, William; Rea, Alethea - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-13

We present four methods of assessing the diversification potential within a stock market, and two of these are based on … consistent picture. The potential for diversification declined almost monotonically in the three years prior to the 2008 …, the diversification potential declined even further in the 2011 European debt crisis and the American credit downgrade. …

Persistent link: https://www.econbiz.de/10011760308

Strategic informed trades, diversification, and expected returns

Caskey, Judson; Hughes, John S.; Liu, Jun - In: The accounting review : a publication of the American … 90 (2015) 5, pp. 1811-1837

Persistent link: https://www.econbiz.de/10011375825

What is the best risk measure in practice? : a comparsion of standard measures

Emmer, Susanne; Kratz, Marie; Tasche, Dirk - In: Journal of risk 18 (2015/2016) 2, pp. 31-60

Persistent link: https://www.econbiz.de/10011438976

The Permanent Portfolio

Anderson, Hamish D.; Marshall, Ben R.; Miao, Jia - In: Applied financial economics 24 (2014) 16/18, pp. 1083-1089

Persistent link: https://www.econbiz.de/10010419030

Bitcoin and liquidity risk diversification

Ghabri, Yosra; Guesmi, Khaled; Zantour, Ahlem - In: Finance research letters 40 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012819160

Diversification in catastrophe insurance markets

Cui, Hengxin; Tan, Ken Seng; Yang, Fan - In: ASTIN bulletin : the journal of the International … 51 (2021) 3, pp. 753-778

Persistent link: https://www.econbiz.de/10012656726

Portfolio entrepreneurs : the role of risk

Fierro, Antonio Malfense; Rosa, Peter - In: De Gruyter handbook of entrepreneurial finance, (pp. 75-85). 2022

Persistent link: https://www.econbiz.de/10013201990

Does Bitcoin hedge commodity uncertainty?

Hoang, Khanh; Nguyen, Cuong; Poch, Kongchheng; Nguyen, … - In: Journal of risk and financial management : JRFM 13 (2020) 6/119, pp. 1-14

This paper examines the connectedness between Bitcoin and commodity volatilities, including oil, wheat, and corn, during the period Oct. 2013-Jun. 2018, using time- and frequency-domain frameworks. The time-domain framework's results show that the connectedness is 23.49%, indicating a low level...

Persistent link: https://www.econbiz.de/10012305145