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High-dimensionality in statistics and portfolio optimization

Glombek, Konstantin - 2012 - 1. Aufl.

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

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

A study of evaluations of mutual fund investment strategies

Brockett, Patrick L. (contributor) - In: Essays in decision making : a volume in honour of …, (pp. 237-274). 1997

Persistent link: https://www.econbiz.de/10001294796

Individual decision making and investor welfare

Brennan, Michael J.; Torous, Walter N. - In: Economic notes : economic review of Banca Monte dei … 28 (1999) 2, pp. 119-143

Persistent link: https://www.econbiz.de/10001414837

Der Anlageerfolg des Minimum-Varianz-Portfolios : eine empirische Untersuchung am deutschen, englischen, japanischen, kanadischen und US-amerikanischen Aktienmarkt

Kleeberg, Jochen M. - 1995 - 2., unveränd. Aufl.

Persistent link: https://www.econbiz.de/10013438231

Do trading rules based upon winners and losers work across markets? : Evidence from the Pacific Basin and US markets

Fung, Hung-gay; Leung, Wai K.; Patterson, Gary A. - In: Multinational finance journal : MF ; quarterly … 3 (1999) 1, pp. 41-70

Persistent link: https://www.econbiz.de/10001510067

Investing for the long run when returns are predictable

Barberis, Nicholas - In: The journal of finance : the journal of the American … 55 (2000) 1, pp. 225-264

Persistent link: https://www.econbiz.de/10001496991

An empirical test of the dow dividend theory

Prather, Larry J. - In: The southern business & economic journal 23 (2000) 3, pp. 170-184

Persistent link: https://www.econbiz.de/10001497613