Search Results - subject:"optimal asset allocation"

Optimal portfolio allocation between global stock indexes and safe haven assets: Gold versus the Swiss Franc : 1999-2021

Tronzano, Marco - In: Journal of Risk and Financial Management 15 (2022) 6, pp. 1-24

This paper contributes to the literature on safe haven assets, analyzing gold and the Swiss Franc's defensive properties inside various global stocks portfolios. The analysis relies on monthly data extending over the last two decades. Drawing on Multivariate Garch DCC models, the hedging...

Persistent link: https://www.econbiz.de/10014332442

Optimal portfolio allocation between global stock indexes and safe haven assets : gold versus the Swiss Franc : 1999-2021

Tronzano, Marco - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-24

Persistent link: https://www.econbiz.de/10013273582

Not all bull and bear markets are alike : insights from a five-state hidden semi-Markov model

Zakamulin, Valeriy - In: Risk management : an international journal 25 (2023) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10013490816

Health insurance, portfolio choice, and retirement incentives

Barucci, Emilio; Biffs, Enrico; Marazzina, Daniele - In: European journal of operational research : EJOR 307 (2023) 2, pp. 910-921

Persistent link: https://www.econbiz.de/10014335292

Heterogeneity-adjusted management of pension funds using adaptive representative agents

Thepdanai Danswasvong; Sira Suchintabandid - In: Decisions in economics and finance : a journal of … 46 (2023) 2, pp. 545-567

Persistent link: https://www.econbiz.de/10014443754

Optimal asset allocation under search frictions and stochastic interest rate

Wang, Ning; Zhu, Song-Ping; Elliott, Robert J. - In: Quantitative finance 23 (2023) 6, pp. 1019-1033

Persistent link: https://www.econbiz.de/10014304432

Polynomial utility

Lollike, Alexander Sevel; Steffensen, Mogens - In: International journal of theoretical and applied … 26 (2023) 6/7, pp. 1-28

Persistent link: https://www.econbiz.de/10014500193

Optimal asset allocation for commodity sovereign wealth funds

Irarrazabal, Alfonso A.; Ma, Lin; Parra-Alvarez, Juan Carlos - In: Quantitative finance 23 (2023) 3, pp. 471-495

Persistent link: https://www.econbiz.de/10014232677

Optimal asset allocation for commodity sovereign wealth funds

Irarrazabal, Alfonso A.; Ma, Lin; Parra-Alvarez, Juan Carlos - 2020

Persistent link: https://www.econbiz.de/10012318200

On the investment strategies in occupational pension plans

Bosserhoff, Frank; Chen, An; Sørensen, Nils; Stadje, Mitja - In: Quantitative finance 22 (2022) 5, pp. 889-905

Persistent link: https://www.econbiz.de/10013367869

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