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Copula-based Black-Litterman portfolio optimization
Sahamkhadam, Maziar; Stephan, Andreas; Östermark, Ralf - In: European journal of operational research : EJOR 297 (2022) 3, pp. 1055-1070
Persistent link: https://www.econbiz.de/10013262000
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Portfolio optimization based on GARCH-EVT-Copula forecasting models
Sahamkhadam, Maziar; Stephan, Andreas; Östermark, Ralf - In: International journal of forecasting 34 (2018) 3, pp. 497-506
Persistent link: https://www.econbiz.de/10012031027
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Incorporating ESG into optimal stock portfolios for the global timber & forestry industry
Lööf, Hans; Sahamkhadam, Maziar; Stephan, Andreas - In: Journal of forest economics : JFE 38 (2023) 2, pp. 133-157
Persistent link: https://www.econbiz.de/10014323531
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Is Corporate Social Responsibility investing a free lunch? : the relationship between ESG, tail risk, and upside potential of stocks before and during the COVID-19 crisis
Lööf, Hans; Sahamkhadam, Maziar; Stephan, Andreas - In: Finance research letters 46 (2022) 2, pp. 1-7
Persistent link: https://www.econbiz.de/10013342815