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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

Portfolio optimisation under flexible dynamic dependence modelling

Bernardi, Mauro; Catania, Leopoldo - In: Journal of empirical finance 48 (2018), pp. 1-18

Persistent link: https://www.econbiz.de/10012109219

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

Currency Hedging Strategies Using Dynamic Multivariate GARCH

Chang, Chia-Lin - 2012

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of futures contracts. For this purpose, daily data of...

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

A Mathematical Proof to the HKLam Theory by Linear/Tensor Algebra and Analysis

Lam, Kai Shun - 2022

In the previous papers, I have mentioned several times of HKLam Theory and their everyday usage but without the … abstract mathematical proof. In order to remediate the flaws, I am now trying to proof the theory through both Tensor Algebra … based on the order two tensor but the HKLam theory may be extended up to nth order tensor but NOT applicable to the topic of …

Persistent link: https://www.econbiz.de/10014244467

A Mixture of Gaussians Approach to Mathematical Portfolio Oversight : The EF3M Algorithm

Lopez de Prado, Marcos - 2013

An analogue can be made between: (a) the slow pace at which species adapt to an environment, which often results in the emergence of a new distinct species out of a once homogeneous genetic pool, and (b) the slow changes that take place over time within a fund, mutating its investment style. A...

Persistent link: https://www.econbiz.de/10013092381

A Survey of Some Recent Applications of Optimal Transport Methods to Econometrics

Galichon, Alfred - 2016

This paper surveys recent applications of methods from the theory of optimal transport to econometric problems …

Persistent link: https://www.econbiz.de/10012977009

Extremals flows and infinite horizon optimization

Agračev, Andrej Aleksandrovič; Chittaro, Francesca C. - In: Mathematical control theory and finance, (pp. 1-13). 2008

Persistent link: https://www.econbiz.de/10003755175

Portfolio optimization for extreme risks with maximum diversification : an empirical analysis

Mehta, Navya Jayesh; Yang, Fan - In: Risks : open access journal 10 (2022) 5, pp. 1-26

Heavy tailedness and interconnectedness widely exist in stock returns and large insurance claims, which contributes to huge losses for financial institutions. Diversification ratio (DR) measures the degree of diversification using the Value-at-Risk, which is known to capture extreme risks better...

Persistent link: https://www.econbiz.de/10013358817

Optimisation of mixed assets portfolio using copula differential evolution : a behavioural approach

Ababio, Kofi A.; Mba, Jules Clement; Koumba, Ur - In: Cogent economics & finance 8 (2020) 1, pp. 1-27

Cumulative Prospect Theory (CPT) is rooted in behavioural psychology and has demonstrated to possess sufficient …

Persistent link: https://www.econbiz.de/10012622374