On mutual funds-of-ETFs asset allocation with rebalancing : sample covariance versus EWMA and GARCH
Panos Xidonas, Mike Tsionas, Constantin Zopounidis
| Year of publication: |
2020
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|---|---|
| Authors: | Xidonas, Panos ; Tsionas, Mike ; Zopounidis, Constantin |
| Published in: |
Annals of operations research ; volume 284, numbers 1 (January 2020). - New York, NY, USA : Springer. - 2020, p. 469-482
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| Subject: | Asset allocation | Rebalancing | Volatility modelling | Portfolio optimization | Non-convex policy constraints | Mutual funds | ETFs | Portfolio-Management | Portfolio selection | Investmentfonds | Investment Fund | Volatilität | Volatility | Theorie | Theory | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Anlageverhalten | Behavioural finance | Indexderivat | Index derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/s10479-018-3056-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012165614