Similar Search Results

Is home bias biased? : new evidence from the investment fund sector

Lambert, Claudia; Molestina Vivar, Luis; Wedow, Michael - 2024

development and familiarity (language and distance) are considered key determinants for home bias. The literature neglects however … for this misclassification. First, we find substantially smaller home bias estimates compared to those in the literature …. Second, the explanatory power of plausible home bias determinants is lower than previously documented. Third, familiarity …

Persistent link: https://www.econbiz.de/10014526644

Canonical vine copulas in the context of modern portfolio management : are they worth it?

Low, Rand Kwong Yew; Alcock, Jamie; Faff, Robert W.; … - In: Journal of banking & finance 37 (2013) 8, pp. 3085-3099

Persistent link: https://www.econbiz.de/10009777123

Vine copula-based dependence and portfolio value-at-risk analysis of the cryptocurrency market

Boako, Gideon; Tiwari, Aviral Kumar; Roubaud, David - In: International economics : a journal published by CEPII … 158 (2019), pp. 77-90

Persistent link: https://www.econbiz.de/10012318740

How does bubble risk propagate among financial assets? : a perspective from the BSADF-vine copula model

Yao, Can-Zhong; Li, Min-Jian; Xu, Xin - In: International review of economics & finance : IREF 88 (2023), pp. 347-364

Persistent link: https://www.econbiz.de/10014475372

An investigation into the dependence structure of major cryptocurrencies

Saha, Kunal - 2018

This paper attempts to examine the dependence structure of four major cryptocurrencies chosen by current market capitalisation. It is a well known fact that there is huge volatility in the prices of these cryptocurrencies. The Vine Copula model is used to get some insights about the dependence...

Persistent link: https://www.econbiz.de/10011895478

Neural network predictive modeling on dynamic portfolio management : a simulation-based portfolio optimization approach

Yu, Jiayang; Chang, Kuo-Chu - In: Journal of risk and financial management : JRFM 13 (2020) 11/285, pp. 1-23

-based Predictive Model (EFPM). Then, we combine it with the Copula-GARCH simulation model and the Mean-Conditional Value at Risk (Mean-CVaR …, Sharpe ratio, maximum drawdown, and 99% CVaR. …

Persistent link: https://www.econbiz.de/10012388728

Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model : empirical evidence from ASEAN stock indexes

Sang Phu Nguyen; Toan Luu Duc Huynh - In: Quantitative finance and economics 3 (2019) 3, pp. 562-585

Persistent link: https://www.econbiz.de/10012176618

Optimisation of mixed assets portfolio using copula differential evolution : a behavioural approach

Ababio, Kofi A.; Mba, Jules Clement; Koumba, Ur - In: Cogent economics & finance 8 (2020) 1, pp. 1-27

Cumulative Prospect Theory (CPT) is rooted in behavioural psychology and has demonstrated to possess sufficient explanatory power for use in actual deci sion-making problems. In this study, two distinct asset classes (i.e. assets with extremely lower or higher CPT values) are classified and...

Persistent link: https://www.econbiz.de/10012622374

Intraday portfolio risk management using VaR and CVaR : a CGARCH-EVT-Copula approach

Karmakar, Madhusudan; Paul, Samit - In: International journal of forecasting 35 (2019) 2, pp. 699-709

Persistent link: https://www.econbiz.de/10012300717

Panic-aware portfolio optimization

Zorn, Josef - In: The journal of asset management 20 (2019) 2, pp. 103-110

Persistent link: https://www.econbiz.de/10012059765