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Forecasting ability but no profitability : an empirical evaluation of genetic algorithm-optimised technical trading rules

Pereira, Robert - In: Evolutionary computation in economics and finance : …, (pp. 287-310). 2002

Persistent link: https://www.econbiz.de/10001677448

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

Neural network predictive modeling on dynamic portfolio management : a simulation-based portfolio optimization approach

Yu, Jiayang; Chang, Kuo-Chu - In: Journal of risk and financial management : JRFM 13 (2020) 11/285, pp. 1-23

-based asset allocation strategy outperforms the three alternatives on many common metrics, including annualized return, volatility …

Persistent link: https://www.econbiz.de/10012388728

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

Applying hybrid ARIMA-SGARCH in algorithmic investment strategies on S&P 500 Index

Nguyen Vo; Ślepaczuk, Robert - 2021

Persistent link: https://www.econbiz.de/10012816706

Markowitz mean-variance portfolio optimization with predictive stock selection using machine learning

Apichat Chaweewanchon; Rujira Chaysiri - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-19

With the advances in time-series prediction, several recent developments in machine learning have shown that integrating prediction methods into portfolio selection is a great opportunity. In this paper, we propose a novel approach to portfolio formation strategy based on a hybrid machine...

Persistent link: https://www.econbiz.de/10013368389

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

Multi-period power utility optimization under stock return predictability

Bodnar, Taras; Ivasiuk, Dmytro; Parolya, Nestor; … - In: Computational management science 20 (2023) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10014228499

Currency Hedging Strategies Using Dynamic Multivariate GARCH

Chang, Chia-Lin - 2012

volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of … Chang et al. [17], we estimate four multivariate volatility models (namely CCC, VARMA-AGARCH, DCC and BEKK), and calculate …

Persistent link: https://www.econbiz.de/10013113663

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 optimal portfolio weights of all multivariate volatility models for Brent suggest holding futures in larger … volatility model give the time-varying hedge ratios, and recommend to short in crude oil futures with a high proportion of one …

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