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Closed-form portfolio optimization under GARCH models

Escobar, Marcos; Gollart, Maximilian; Zagst, Rudi - In: Operations research perspectives 9 (2022), pp. 1-13

This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...

Persistent link: https://www.econbiz.de/10012880259

Asset allocation in the Athens stock exchange : a variance sensitivity analysis

Diamandis, Panayotis F.; Drakos, Anastassios A.; … - In: International journal of finance & economics : IJFE 17 (2012) 2, pp. 167-181

Persistent link: https://www.econbiz.de/10009615696

Value-at-risk: the comparison of state-of-the-art models on varous assets

Kielak, Karol; Ślepaczuk, Robert - 2020

Persistent link: https://www.econbiz.de/10012322235

A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation

Ausín, M. Concepción; Galeano, Pedro; Ghosh, Pulak - In: European journal of operational research : EJOR 232 (2014) 2, pp. 350-358

Persistent link: https://www.econbiz.de/10010224698

Quadratic hedging schemes for non-Gaussian GARCH models

Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo - In: Journal of economic dynamics & control 42 (2014), pp. 13-32

Persistent link: https://www.econbiz.de/10010426624

Measuring value at risk on emerging stock markets : empirical evidence from Serbian stock exchange

Miletić, Mirjana; Miletić, Siniša - In: Facta Universitatis / Series economics and organization … 10 (2013) 1, pp. 25-37

Persistent link: https://www.econbiz.de/10010458744

Forecasting value at risk (VaR) for emerging and developed markets

Naimy, Viviane; Bou Zeidan, Melissa - In: Estudios de economía aplicada : revista promovida por … 37 (2019) 3, pp. 153-174

Persistent link: https://www.econbiz.de/10012173924

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

Performance of Value at Risk models in the midst of the global financial crisis in selected CEE emerging capital markets

Miletic, Mirjana; Miletic, Sinisa - In: Economic research 28 (2015) 1, pp. 132-166

Persistent link: https://www.econbiz.de/10012220692

Stock market spillovers of global risks and hedging opportunities

Salachas, Evangelos; Kouretas, Georgios P.; Laopodis, … - In: European journal of political economy 83 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10014547146