Portfolio optimisation using alternative risk measures
Douglas Austen Lorimer, Cornelis Hendrik van Schalkwyk, Jan Jakub Szczygielski
| Year of publication: |
2024
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|---|---|
| Authors: | Lorimer, Douglas Austen ; Van Schalkwyk, Cornelis Hendrik ; Szczygielski, Jan Jakub |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 67.2024, 1, Art.-No. 105758, p. 1-13
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| Subject: | Exponentially weighted moving average | Forecasting | Portfolio optimisation | Returns | Risk measures | Sharpe ratio | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Messung | Measurement | Risiko | Risk | Kapitaleinkommen | Capital income | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2024.105758 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015061498