-stage stochastic program to compare mean-risk optimization models with time series momentum strategies. In a backtest of allocating …

We propose a Multivariate Volatility Regulated Kelly strategy, which has extra penalization on variance compared to the …

VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that …

triggered by the global events on the stock markets since the middle of the last decade: - Why do crashes happen when in theory … approaches to finance and investing, i.e., modern portfolio theory and behavioral finance, and provides an overview of stock … can be downloaded at extras.springer.com. In this book modern portfolio theory meets behavioral finance, resulting in new …