Search Results - subject:"dynamic portfolio"

Dynamic correlation and hedging ability of precious metals in pre- and post-COVID periods

Ntare, Hamdan Bukenya; Mwamba, John Weirstrass Muteba; … - In: Cogent Economics & Finance 12 (2024) 1, pp. 1-33

post-COVID period. Hedging effectiveness demonstrates that the dynamic portfolio weights strategy is better than hedge …

Persistent link: https://www.econbiz.de/10015425962

Optimal annuitization under stochastic interest rates

Dillschneider, Yannick; Maurer, Raimond; Schober, Peter - In: ASTIN bulletin : the journal of the International … 54 (2024) 3, pp. 626-651

Persistent link: https://www.econbiz.de/10015154568

Aggregate portfolio choice

Inkmann, Joachim - 2024

Persistent link: https://www.econbiz.de/10014575873

Do jumps matter in discrete-time portfolio optimization?

Escobar, Marcos; Spies, Ben; Zagst, Rudi - In: Operations research perspectives 13 (2024), pp. 1-13

This paper studies a discrete-time portfolio optimization problem, wherein the underlying risky asset follows a Lévy GARCH model. Besides a Gaussian noise, the framework allows for various jump increments, including infinite-activity jumps. Using a dynamic programming approach and exploiting...

Persistent link: https://www.econbiz.de/10015372635

Dynamic correlation and hedging ability of precious metals in pre- and post-COVID periods

Ntare, Hamdan Bukenya; Muteba Mwamba, John; Adekambi, Franck - In: Cogent economics & finance 12 (2024) 1, pp. 1-33

post-COVID period. Hedging effectiveness demonstrates that the dynamic portfolio weights strategy is better than hedge …

Persistent link: https://www.econbiz.de/10015340286

Measuring the effectiveness of ASEAN-5 initiatives from emerging market portfolio’s perspective

Robiyanto, Robiyanto; Nugroho, Bayu Adi; Handriani, Eka; … - In: Cogent Business & Management 10 (2023) 1, pp. 1-20

ASEAN nations started ASEAN Economic Community (AEC) initiatives, with the goal of improving the economic movement in ASEAN. The initiative is expected to lead to higher integration in the regions. The objective of this research was to study the integration of equity markets in the ASEAN-5...

Persistent link: https://www.econbiz.de/10014527800

Measuring the effectiveness of ASEAN-5 initiatives from emerging market portfolio's perspective

Robiyanto, Robiyanto; Nugroho, Bayu Adi; Handriani, Eka; … - In: Cogent business & management 10 (2023) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10014460813

A comprehensive machine learning framework for dynamic portfolio choice with transaction costs

Gaegauf, Luca; Scheidegger, Simon; Trojani, Fabio - 2023

Persistent link: https://www.econbiz.de/10014483248

How prone are emerging markets' sectoral indices to global uncertainties? : evidence from the quantile connectedness approach with portfolio implications

Khan, Shabeer; Rehman, Mohd Ziaur; Shahzad, Mohammad Rahim - In: International journal of emerging markets 20 (2025) 4, pp. 1569-1592

Persistent link: https://www.econbiz.de/10015398954

A generalized entropy approach to portfolio selection under a hidden markov model

MacLean, Leonard C.; Yu, Lijun; Zhao, Yonggan - In: Journal of Risk and Financial Management 15 (2022) 8, pp. 1-25

This paper develops a dynamic portfolio selection model incorporating economic uncertainty for business cycles. It is … regime-switching regression model on the two market risk factors, we develop an entropy-based dynamic portfolio selection … empirical Sharpe and return to entropy ratios, the dynamic portfolio under the proposed strategy is much improved in contrast …

Persistent link: https://www.econbiz.de/10014332538