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Robust Portfolio Optimization with Multivariate Copulas : A Worst-Case CVaR Approach
B. Sabino da Silva, Fernando - 2018
Using data from the S&P 500 stocks from 1990 to 2015, we address the uncertainty of distribution of assets' returns in Conditional Value-at-Risk (CVaR) minimization model by applying multidimensional mixed Archimedean copula function and obtaining its robust counterpart. We implement a dynamic...
Persistent link: https://www.econbiz.de/10012931953
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Timing Stock Market Using Real Variables
Ma, Jinpeng - 2015
How is it possible to successfully time the stock market using publicly available information if the market prices … evolve according to a random walk in a rational market? Our paper answers this question by providing nine strategies to time …
Persistent link: https://www.econbiz.de/10013031409
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Option theory does not refute time diversification
Redhead, Keith; Shutes, Karl - In: The journal of investing 19 (2010) 3, pp. 65-71
Persistent link: https://www.econbiz.de/10009308466
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Time diversification in developed and emerging markets
Anderson, Hamish D.; Malone, Chris B.; Marshall, Ben R. - In: Journal of emerging market finance 11 (2012) 2, pp. 115-144
Persistent link: https://www.econbiz.de/10009752882
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The cost of diversification over time, and a simple way to improve target-date funds
Levy, Haim; Levy, Moshe - In: Journal of banking & finance 122 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10012659656
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Time to stay home? : global diversification during the past 25 years
Christophe, Stephen E. - In: The journal of wealth management 20 (2017) 1, pp. 37-45
Persistent link: https://www.econbiz.de/10011687081
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International and temporal diversifications : the best of both worlds?
Fouquau, Julien; Kharoubi, Cécile; Spieser, Philippe - In: Journal of risk 20 (2017/2018) 4, pp. 27-54
Persistent link: https://www.econbiz.de/10011848923
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Time Diversification Redux
Aked, Michael - 2017
. Time diversification is helpful, up until long-term uncertainty about the value of reinvested cash flows from dividends …
Persistent link: https://www.econbiz.de/10012947272
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Multivariate GARCH for a large number of stocks
Raddant, Matthias; Wagner, Friedrich - 2016
parameters and requires less computing time. As applications we use the daily values of beta coefficients available from the …
Persistent link: https://www.econbiz.de/10011543357
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Multivariate GARCH for a large number of stocks
Raddant, Matthias; Wagner, Friedrich - 2016 - [revised version]
parameters and requires less computing time. As applications we use the daily values of beta coefficients available from the …
Persistent link: https://www.econbiz.de/10011603217