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Kakushadze, Zura - In: The journal of asset management 17 (2016) 2, pp. 69-72

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A Krylov subspace approach to large portfolio optimization

Bajeux-Besnainou, Isabelle; Bandara, Wachindra; Bura, … - In: Journal of economic dynamics & control 36 (2012) 11, pp. 1688-1699

Persistent link: https://www.econbiz.de/10009701940

Maximum likelihood estimation of covariance matrices with constraints on the efficient frontier

Yilmaz, Hilal; Pearson, Neil D. - In: International journal of computational economics and … 6 (2016) 1, pp. 71-92

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Random matrix models for datasets with fixed time horizons

Zitelli, G. L. - In: Quantitative finance 20 (2020) 5, pp. 769-781

Persistent link: https://www.econbiz.de/10012262618

Eigen-analysis for high-dimensional time series clustering

Zhang, Bo; Gao, Jiti; Pan, Guangming; Yang, Yanrong - 2023

Persistent link: https://www.econbiz.de/10014452611

Essays on asset pricing and portfolio optimization

Koeppel, Christian - 2021

WThis doctoral thesis focuses on the effects of investor sentiment on asset pricing and the challenges of portfolio optimization under parameter uncertainty. The ﬁrst essay "Sentiment risk premia in the cross-section of global equity" applies a recently developed sentiment proxy to the...

Persistent link: https://www.econbiz.de/10012651028

Bitcoin, VIX futures and CDS : a triangle for hedging the international equity portfolios

Zghal, Rania; Ghorbel, Ahmed - In: International journal of emerging markets 17 (2022) 1, pp. 71-97

Persistent link: https://www.econbiz.de/10012886357

Can crude oil futures be the good hedging tool for tyre equities? : evidence from India

Kumar, K. Abhaya; Pinto, Prakash; Hawaldar, Iqbal Thonse; … - In: International Journal of Energy Economics and Policy : IJEEP 11 (2021) 6, pp. 523-537

Persistent link: https://www.econbiz.de/10012887283

Drivers of capital inflow : does global uncertainty matter?

Sanusi, Kazeem Abimbola; Mingiri, Kapingura Forget - In: Cogent business & management 9 (2022) 1, pp. 1-20

). The study employed the Dynamic Conditional Correlation (DCC GARCH) to investigate time-varying correlation among the …

Persistent link: https://www.econbiz.de/10014438935

Nonparametric correlation models for portfolio allocation

Aslanidis, Nektarios; Casas, Isabel - In: Journal of banking & finance 37 (2013) 7, pp. 2268-2283

Persistent link: https://www.econbiz.de/10009760686