Search Results - subject:"Portfolio theory"

Estimation risk and the implicit value of index-tracking

Clark, Brian; Edirisinghe, Chanaka; Simaan, Majeed - In: Quantitative finance 22 (2022) 2, pp. 303-319

Persistent link: https://www.econbiz.de/10013167745

Inferences from portfolio theory and efficient market hypothesis to the impact of social media on sovereign debt : Colombia, Ecuador, and Peru

Serrano-Monge, Esteban - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-16

For three countries of similar economic characteristics, I ratify previous studies of the impact of fundamental macroeconomic and foreign exchange variables influencing country risk, as captured by the Emerging Market Bond Index (EMBI). I contribute to existing research, first by calculating a...

Persistent link: https://www.econbiz.de/10013168980

Political beta

Fisman, Raymond; Knill, April M.; Mityakov, Sergey; … - In: Review of finance : journal of the European Finance … 26 (2022) 5, pp. 1179-1215

Persistent link: https://www.econbiz.de/10013399704

Strategic approach to investment portfolios through the prism of precious metals

Marinac, Martina; Vukoja, Marija - In: UTMS journal of economics / University of Tourism and … 13 (2022) 1, pp. 98-128

investment options, which is diversify of the investment portfolio; what is also what modern portfolio theory, or Markowitz …

Persistent link: https://www.econbiz.de/10013326410

The performance of shrinkage estimator for stock portfolio selection in case of high dimensionality

Nhat Minh Nguyen; Nguyen Trung Duc; Thalassinos, Eleftherios - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-12

Harry Markowitz introduced the Modern Portfolio Theory (MPT) for the first time in 1952 which has been applied widely …

Persistent link: https://www.econbiz.de/10013273605

Cryptocurrencies as an asset class in portfolio optimisation

Holovatiuk, Olha - In: Central European economic journal 7 (2020) 54, pp. 35-55

properties. Portfolio optimisation with the Modern Portfolio Theory showed an increase in the Sharpe ratio of tangency portfolios … with the inclusion of CRIX. However, the Post-Modern Portfolio Theory identified significant deterioration of the downside …

Persistent link: https://www.econbiz.de/10012303649

Risk-adjusted return in sustainable finance : a comparative analysis of European positively screened and best-in-class ESG investment portfolios and the Euro Stoxx 50 index using t...

Gardenier, Julius; Lac, Visieu; Ashfaq, Muhammad - 2021

positively screenedand best-in-class portfolios using the Sustainalytics ESG risk rating with the help of modern portfolio theory …

Persistent link: https://www.econbiz.de/10012581333

Quantitative methods for economics and finance

Trinidad Segovia, Juan Evangelista (ed.); … - 2021

This book is a collection of papers for the Special Issue "Quantitative Methods for Economics and Finance" of the journal Mathematics. This Special Issue reflects on the latest developments in different fields of economics and finance where mathematics plays a significant role. The book gathers...

Persistent link: https://www.econbiz.de/10012586869

Reclaiming the relational ontology of the fiduciary and exploring relational ethics

Mussell, Helen - 2021

Persistent link: https://www.econbiz.de/10012704550

Lo, Andrew W.; Siah, Kien Wei - In: The journal of structured finance 27 (2021) 1, pp. 17-34

Persistent link: https://www.econbiz.de/10012517356

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