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Optimal portfolio using volatility anomaly concept and Sharpe optimisation technique

Mitra, Pradip Kumar; Mascarenhas, Edward - In: International journal of business excellence : IJBEX 25 (2021) 4, pp. 474-490

Persistent link: https://www.econbiz.de/10012798425

Identification of macroeconomic factors in large panels

Bork, Lasse; Dewachter, Hans; Houssa, Romain - 2009

Persistent link: https://www.econbiz.de/10003883594

Identification of macroeconomic factors in large panels

Bork, Lasse; Dewachterz, Hans; Houssax, Romain - 2009

Persistent link: https://www.econbiz.de/10003910568

Identification of macroeconomic factors in large papels

Bork, Lasse; Dewachter, Hans; Houssa, Romain - 2009

Persistent link: https://www.econbiz.de/10003910620

Identification of Macroeconomic Factors in Large Panels

Bork, Lasse - 2009

This paper presents a dynamic factor model in which the extracted factors and shocks are given a clear economic interpretation. The economic interpretation of the factors is obtained by means of a set of over-identifying loading restrictions, while the structural shocks are estimated following...

Persistent link: https://www.econbiz.de/10013154051

Identification of Macroeconomic Factors in Large Panels

Bork, Lasse - 2009

Persistent link: https://www.econbiz.de/10013155955

Enhanced index tracking with CVaR-based ratio measures

Guastaroba, Gianfranco; Mansini, Renata; Ogryczak, … - In: Stochastic optimization: theory and applications, (pp. 883-931). 2020

Persistent link: https://www.econbiz.de/10012290853

Risk measure index tracking model

Sant'Anna, Leonardo Riegel; Righi, Marcelo Brutti; … - In: International review of economics & finance : IREF 80 (2022), pp. 361-383

Persistent link: https://www.econbiz.de/10013342032

Risk-allocation-based index tracking

Anis, Hassan T.; Costa, Giorgio; Kwon, Roy H. - In: Computers & operations research : and their … 154 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014308262

Risk Budgeting portfolios : existence and computation

Cetingoz, Adil Rengim; Fermanian, Jean-David; Guéant, … - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 896-924

Persistent link: https://www.econbiz.de/10014565279