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Dimensional analysis of real estate portfolio selection methods

Strang, Kenneth David - In: Global business & economics review 16 (2014) 3, pp. 269-295

Persistent link: https://www.econbiz.de/10010495734

High-dimensionality in statistics and portfolio optimization

Glombek, Konstantin - 2012 - 1. Aufl.

Persistent link: https://www.econbiz.de/10013360879

Modelling, estimation and visualization of multivariate dependence for high-frequency data

Brodin, Erik; Klüppelberg, Claudia - In: Statistical modelling and regression structures : …, (pp. 267-300). 2010

Persistent link: https://www.econbiz.de/10003964488

Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

Kim, Young Shin; Giacometti, Rosella; Račev, Svetlozar T. - 2012

In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...

Persistent link: https://www.econbiz.de/10009576319

Equity portfolio diversification under time-varying predictability : evidence from Ireland, the US, and the UK

Guidolin, Massimo; Hyde, Stuart - In: Journal of multinational financial management 18 (2008) 4, pp. 293-312

Persistent link: https://www.econbiz.de/10003751602

Asset allocation with a high dimensional latent factor stochastic volatility model

Han, Yufeng - In: The review of financial studies 19 (2006) 1, pp. 237-271

Persistent link: https://www.econbiz.de/10003325179

Social security : who wants private accounts?

Finke, Michael; Chatterjee, Swarnankur - In: Financial services review : the journal of individual … 17 (2008) 4, pp. 289-307

Persistent link: https://www.econbiz.de/10003849076

A multivariate model of strategic asset allocation with longevity risk

Bisetti, Emilio; Favero, Carlo A.; Nocera, Giacomo; … - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 5, pp. 2251-2275

Persistent link: https://www.econbiz.de/10011929000

A multivariate model of strategic asset allocation with longevity risk

Bisetti, Emilio; Favero, Carlo A.; Nocera, Giacomo; … - 2015

Persistent link: https://www.econbiz.de/10011290880

Mode and context effects in measuring household assets

Soest, Arthur van; Kapteyn, Arie - 2009

Internet interview. Comparing core and Internet survey answers of the same people, we analyze mode and context effects … find some large differences between the first Internet survey and the other three surveys which we interpret as a context …

Persistent link: https://www.econbiz.de/10003914046