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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 …

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

Optimal markowitz portfolio using returns forecasted with time series and machine learning models

Ślusarczyk, Damian; Ślepaczuk, Robert - 2023

Persistent link: https://www.econbiz.de/10014446491

Parallel optimization of sparse portfolios with AR-HMMs

Sipos, I. Róbert; Ceffer, Attila; Levendovszky, János - In: Computational economics 49 (2017) 4, pp. 563-578

Persistent link: https://www.econbiz.de/10011762135

Optimizing tracking error-constrained portfolios

Maxwell, Michael; Daly, Michael; Thomson, Daniel; Van … - In: Applied economics 50 (2018) 54, pp. 5846-5858

Persistent link: https://www.econbiz.de/10012062920

Optimal granularity for portfolio choice

Branger, Nicole; Lučivjanská, Katarína; … - In: Journal of empirical finance 50 (2019), pp. 125-146

Persistent link: https://www.econbiz.de/10012169950

Essays on robust portfolio management

Plachel, Lukas - 2019

-of-sample volatility if a jump in systematic risk occurs. Chapter 2 introduces a covariance estimation approach which is based solely on …Modern Portfolio Theory (MPT) provides an elegant mathematical framework for the efficient portfolio allocation problem … problems of traditional mean-variance optimization originating from model- and estimation errors. In order to simultaneously …

Persistent link: https://www.econbiz.de/10012152145