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Hedge funds portfolio optimisation using a vine copula-GARCH-EVT-CVaR model

Bedoui, Rihab; Noiali, Sameh; Hamdi, Haykel - In: International journal of entrepreneurship and small … 39 (2020) 1/2, pp. 121-148

Persistent link: https://www.econbiz.de/10012176750

Portfolio optimization through hybrid deep learning and genetic algorithms vine Copula-GARCH-EVT-CVaR model

Bedoui, Rihab; Benkraiem, Ramzi; Guesmi, Khaled; … - In: Technological forecasting & social change : an … 197 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014468847

An investigation into the dependence structure of major cryptocurrencies

Saha, Kunal - 2018

from August 2015 to May 2018. This information can be used to calculate risk based metrics such as expected shortfall of a …

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

Dynamic asset allocation

Madhogarhia, Pawan K.; Lam, Marco - In: The journal of asset management 16 (2015) 5, pp. 293-302

Persistent link: https://www.econbiz.de/10011416515

Using IT fashion investments to optimize an IT innovation portfolio's risk and return

Fridgen, Gilbert; Moser, Florian - In: Journal of decision systems 22 (2013) 4, pp. 298-318

Persistent link: https://www.econbiz.de/10010239881

Risk-adjusted time series momentum

Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …

Persistent link: https://www.econbiz.de/10011293745

The diversification effect of defense business on risk and return

Zhong, Ke; Cao, Yong; Liao, Kun - In: Quarterly journal of finance & accounting : QJFA 58 (2020) 1/2, pp. 33-66

Persistent link: https://www.econbiz.de/10012288686

Risk-return relationship in the Finnish stock market in the light of Capital Asset Pricing Model (CAPM)

Hundal, Shab; Eskola, Anne; Tuan, Doan - In: Journal of transnational management : the official … 24 (2019) 4, pp. 305-322

Persistent link: https://www.econbiz.de/10012256444

The impact of investment horizon on the return and risk of investments in securities in Lithuania

Urbšienė, Laimutė; Bugajevas, Andrius; Pipiras, Marekas - In: Organizations and markets in emerging economies 7 (2016) 2, pp. 88-111

The paper focuses on the impact of time horizon on risk and return, which usually is the object of discussions about … “stock versus bond”. The aim of this paper is to investigate the transformation of risk and return when increasing the … were more attractive than in bonds: the risk of shares fell to the risk of bonds, but at the same time, the return of …

Persistent link: https://www.econbiz.de/10012195112

Portfolio composition and critical line : a methodological approach

Kukeli, Agim; Deari, Fitim; Rocşoreanu, Carmen - In: International journal of risk assessment and management … 22 (2019) 2, pp. 195-211

Persistent link: https://www.econbiz.de/10012138497