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Genetic Algorithm Calibration of Seasonal BVAR Models

Quilis, Enrique M. - 2015

In this paper we explore the use of Genetic Algorithms (GA) to calibrate seasonal BVAR models. In this way, the mechanistic use of seasonal adjustment procedures is avoided, since seasonality becomes a structural, basic and explicit part of the BVAR model. At the same time, the use of GA allows...

Persistent link: https://www.econbiz.de/10014132203

LQG for Portfolio Optimization

Abeille, Marc - 2016

We introduce a generic solver for dynamic portfolio allocation problems when the market exhibits return predictability, price impact and partial observability. We assume that the price modeling can be encoded into a linear state-space and we demonstrate how the problem then falls into the LQG...

Persistent link: https://www.econbiz.de/10012980026

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Tansuchat, Roengchai - 2010

The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to calculate optimal portfolio weights and optimal hedge ratios, and...

Persistent link: https://www.econbiz.de/10013149486

Two-Stage Portfolio Optimization with Higher-Order Conditional Measures of Risk

Gulten, Sitki - 2013

The importance of portfolio optimization in finance field has been increasing significantly. Although, portfolio optimization problems over a single period or multiple periods are studied extensively, the problem with an option to rebalance over multiple periods is not considered significantly....

Persistent link: https://www.econbiz.de/10013091376

Time Series Forecasting With a Learning Algorithm : An Approximate Dynamic Programming Approach

Collado, Ricardo - 2019

We consider the basic problem of refi tting a time series over a finite period of time and formulate it as a stochastic dynamic program. By changing the underlying Markov decision process we are able to obtain a model that at optimality considers historical data as well as forecasts of future...

Persistent link: https://www.econbiz.de/10012894079

Evolutionary Computational Approach in TAR Model Estimation

Parpinel, Francesca - 2012

The well-known SETAR model introduced by Tong belongs to the wide class of TAR models that may be specified in several different ways. Here we propose to consider the delay parameter as endogenous, that is we make it to depend on both the past value and the specific past regime of the series. In...

Persistent link: https://www.econbiz.de/10013111893

Solving linear rational expectations models with lagged expectations quickly and easily

Meyer-Gohde, Alexander (contributor) - 2007

A solution method is derived in this paper for solving a system of linear rational-expectations equation with lagged … expectations (e.g., models incorporating sticky information) using the method of undetermined coefficients for the infinite MA … simple system of linear equations when lagged expectations are present to the infinite MA representation. Execution is faster …

Persistent link: https://www.econbiz.de/10003635144

Portfolio allocation for European markets with predictability and parameter uncertainty

Jondeau, Eric; Rockinger, Michael - 2010

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...

Persistent link: https://www.econbiz.de/10008797745

Ethanol Hedging Strategies Using Dynamic Multivariate GARCH

Garcia, Sergio - 2016

Ethanol has been the subject of intense debate following the adoption of the Energy Policy Act of 2005 (EPAct) which established that the gasoline supply in the United States (U.S.) must contain 10% ethanol. This work seeks to identify hedging ratios using dynamic multivariate GARCH to best...

Persistent link: https://www.econbiz.de/10012979327

Global and Asset Class Diversified ETF Portfolio Strategy - A Convex Mean/CVaR Optimization Approach using Dynamic Copulas with Flexible Probabilities

Mantesso F, Flavio; Ahmed, Joe; Flores, Mauro - 2023

One of the most important factors to control for the achievements of investment portfolio returns is risk. If we only think that a 100% positive return is needed to recover a portfolio loss of 50%, we can understand why. With the advent of the exponential growth of technology usage in markets,...

Persistent link: https://www.econbiz.de/10014254526