Search Results - subject:"Portfolio selection"

Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022

Multivariate GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this paper, we show how...

Persistent link: https://www.econbiz.de/10013040932

Mean-p portfolio selection and p-arbitrage for coherent risk measures

Herdegen, Martin; Khan, Nazem - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 226-272

Persistent link: https://www.econbiz.de/10012815955

Markowitz portfolios under transaction costs

Ledoit, Olivier; Wolf, Michael - 2022

Markowitz portfolio selection is a cornerstone in finance, both in academia and in the industry. Most academic studies … transaction costs to be constant across stocks and (ii) ignoring them at the portfolio-selection state and simply paying them … (properly) at the portfolio-selection stage, net performance in terms of the Sharpe ratio increases, particularly so for high …

Persistent link: https://www.econbiz.de/10013440073

Portfolio optimization under CV@R constraint with stochastic mirror descent

Gadat, Sébastien; Costa, Manon; Huang, Lorick - 2022

Persistent link: https://www.econbiz.de/10013263291

Bear beta or speculative beta? : reconciling the evidence on downside risk premium

In: Review of finance : journal of the European Finance … 27 (2023) 1, pp. 325-367

Persistent link: https://www.econbiz.de/10013543164

Carbon dioxide as a risky asset

Bauer, Adam Michael; Proistosescu, Cristian; Wagner, Gernot - 2023

We develop a financial-economic model for carbon pricing with an explicit representation of decision making under risk and uncertainty that is consistent with the Intergovernmental Panel on Climate Change's sixth assessment report. We find that this approach provides economic support for the...

Persistent link: https://www.econbiz.de/10013549072

The statistics of time varying cross-sectional information coefficients

Ding, Zhuanxin; Sun, Yixiao - In: The journal of asset management : a major new, … 24 (2023) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10013556592

Market timing and predictability in FX markets

Maurer, Thomas; Tran, Ngoc-Khanh - In: Review of finance : journal of the European Finance … 27 (2023) 1, pp. 223-246

Persistent link: https://www.econbiz.de/10013543159

Test for trading costs effect in a portfolio selection problem with recursive utility

Carrasco, Marine; Koné, N’Golo - 2023

Persistent link: https://www.econbiz.de/10013499446

Do pension funds reach for yield? : evidence from a new database

Konradt, Maximilian - 2023 - This version: February 1st, 2023

This paper investigates the financial risk-taking behavior of pension funds since 2000. I assemble a new database containing portfolio holdings of more than 100 pension funds from 14 advanced economies. The study reveals three key findings. First, I show that pension fund portfolios have become...

Persistent link: https://www.econbiz.de/10013540615

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