Search Results - subject:"optimal portfolio weights"

Portfolio strategies to track and outperform a benchmark

Glabadanidis, Paskalis - In: Journal of Risk and Financial Management 13 (2020) 8, pp. 1-26

I investigate the question of how to construct a benchmark replicating portfolio consisting of a subset of the benchmark's components. I consider two approaches: a sequential stepwise regression and another method based on factor models of security returns' first and second moments. The first...

Persistent link: https://www.econbiz.de/10012611401

Portfolio strategies to track and outperform a benchmark

Glabadanidis, Paskalis - In: Journal of risk and financial management : JRFM 13 (2020) 8/171, pp. 1-26

I investigate the question of how to construct a benchmark replicating portfolio consisting of a subset of the benchmark’s components. I consider two approaches: a sequential stepwise regression and another method based on factor models of security returns´ first and second moments. The first...

Persistent link: https://www.econbiz.de/10012322201

Hedging Petroleum Futures with Multivariate GARCH Models

Bunnag, Tanattrin - In: International Journal of Energy Economics and Policy 5 (2015) 1, pp. 105-120

for RCRUDE with RGASOLINE. Finally, the results from these optimal portfolio weights base on the VAR (1)-diagonal VECH …

Persistent link: https://www.econbiz.de/10011122118

Hedging petroleum futures with multivariate GARCH models

Tanattrin Bunnag - In: International Journal of Energy Economics and Policy : IJEEP 5 (2015) 1, pp. 105-120

Persistent link: https://www.econbiz.de/10011287161

Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises

Caporin, Massimiliano; Jimenez-Martin, Juan Angel … - Facultad de Ciencias Económicas y Empresariales, … - 2013

optimal portfolio weights and optimal hedge ratios to identify appropriate currency hedging strategies. The hedging …

Persistent link: https://www.econbiz.de/10010734312

Currency Hedging Strategies Using Dynamic Multivariate GARCH

Chang, Chia-Lin; Jimenez-Martin, Juan Angel Jimenez Martin - Facultad de Ciencias Económicas y Empresariales, … - 2012

optimal portfolio weights and optimal hedge ratios to identify appropriate currency hedging strategies. The hedging …

Persistent link: https://www.econbiz.de/10010862564

Mean Reversion in Stock Prices: Implications for Long-Term Investors

Spierdijk, L.; Bikker, J.A. - School of Economics, Universiteit Utrecht - 2012

prices affects such an investorâ€™s optimal portfolio weights. Finally, we discuss the implications of our findings for the …

Persistent link: https://www.econbiz.de/10011213547

Currency Hedging Strategies Using Dynamic Multivariate GARCH

Chang, Chia-Lin; Jimenez-Martin, Juan Angel Jimenez Martin - Facultad de Ciencias Económicas y Empresariales, … - 2011

multivariate volatility models (CCC, VARMA-AGARCH, DCC and BEKK) and calculate optimal portfolio weights and optimal hedge ratios …

Persistent link: https://www.econbiz.de/10009364038

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Tansuchat, Roengchai; Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010

optimal portfolio weights and optimal hedge ratios, and to suggest a crude oil hedge strategy. The empirical results show that … the optimal portfolio weights of all multivariate volatility models for Brent suggest holding futures in larger …

Persistent link: https://www.econbiz.de/10010732632

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Tansuchat, R.; Chang, C-L.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2010

Persistent link: https://www.econbiz.de/10008570608