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Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities
Robiyanto, Robiyanto; Nugroho, Bayu Adi; Handriani, Eka; … - In: Financial innovation : FIN 6 (2020) 53, pp. 1-29
-related portfolio should diversify to Philippine equity. From hedging effectiveness and risk-adjusted-performance perspectives, oil is …
Persistent link: https://www.econbiz.de/10012418412
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Oil hedging with a multivariate semiparametric value-at-risk portfolio
Živkov, Dejan; Manić, Slavica; Đurašković, Jasmina; … - In: Borsa Istanbul Review 22 (2022) 6, pp. 1118-1131
This paper minimizes the risk of Brent oil in a multivariate portfolio, with three risk-minimizing goals: variance …. The portfolio results show that the ASEAN indexes are better hedges for oil in terms of minimum variance and minimum VaR …. However, although the ASEAN indexes have higher extreme risk, we find that a portfolio with these indexes has slightly lower …
Persistent link: https://www.econbiz.de/10014305873
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Hedging gas in a multi-frequency semiparametric CVaR portfolio
Živkov, Dejan; Balaban, Suzana; Simić, Milica - In: Research in international business and finance 67 (2024) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10014451522
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Multi-scale inter-temporal capital asset pricing model
Sakemoto, Ryuta - In: International journal of finance & economics : IJFE 27 (2022) 4, pp. 4298-4317
Persistent link: https://www.econbiz.de/10013461328
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Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models
Nguyen, Hoang; Virbickaitė, Audronė - In: Energy economics 124 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014480067
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Aggregation of preferences for skewed asset returns
Chabi-Yo, Fousseni; Leisen, Dietmar; Renault, Eric - In: Journal of economic theory 154 (2014), pp. 453-489
Persistent link: https://www.econbiz.de/10010481322
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Empirical testing of arbitrage pricing theory in the Indian stock market : factor analysis approach
Menani, Shikha; Jhamb, H. V. - In: Business analyst : a refereed journal of Shri Ram … 40 (2019) 2, pp. 61-95
Persistent link: https://www.econbiz.de/10013177243
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Trading frequency anomalies in infant markets : the test for returns and sensitivity of shares and portfolios
Shamis Moh'd; Ravindran Ramasamy; Zulkifflee Mohamed - In: Inventi impact: emerging economies (2020) 2, pp. 107-122
Persistent link: https://www.econbiz.de/10012648495
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Notes on Fano ratio and portfolio optimization
Kakushadze, Zura; Yu, Willie - In: Journal of risk & control 5 (2018) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10012229128
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Don't put all of your alums in one basket : college admissions decisions as a portfolio choice problem
Dahl, Logan; Johnson, Daniel K. N. - In: International journal of financial research 7 (2016) 4, pp. 175-179
Persistent link: https://www.econbiz.de/10011578946