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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

huge losses for financial institutions. Diversification ratio (DR) measures the degree of diversification using the Value … effect of diversification for extreme risks. In this paper, we empirically examine the DR strategy by using more than 350 S … turnover, and the degree of diversification. DR outperforms other strategies. In particular, DR shows the highest return and …

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

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

Portfolio optimization and quantitative risk management have been studied extensively since the 1990s and began to attract even more attention after the 2008 financial crisis. This disastrous occurrence propelled portfolio managers to reevaluate and mitigate the risk and return trade-off in...

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

VaR-implied tail-correlation matrices

Mittnik, Stefan - 2013

Empirical evidence suggests that asset returns correlate more strongly in bear markets than conventional correlation estimates imply. We propose a method for determining complete tail-correlation matrices based on Value-at-Risk (VaR) estimates. We demonstrate how to obtain more effi cient...

Persistent link: https://www.econbiz.de/10010191900

VaR-implied tail-correlation matrices

Mittnik, Stefan - In: Economics letters 122 (2014) 1, pp. 69-73

Persistent link: https://www.econbiz.de/10010393953

Cryptocurrency portfolio optimization : utilizing a GARCH-copula model within the Markowitz framework

Jeleskovic, Vahidin; Latini, Claudio; Younas, Zahid Irshad - In: The journal of corporate accounting & finance 35 (2024) 4, pp. 139-155

Persistent link: https://www.econbiz.de/10015152922

Socially responsible multiobjective optimal portfolios

Sahamkhadam, Maziar; Stephan, Andreas - In: Journal of the Operational Research Society 75 (2024) 10, pp. 2065-2076

Persistent link: https://www.econbiz.de/10015188547

Portfolio optimization with GARCH-EVT-Copula-CVaR models

Huang, Chin-Wen; Hsu, Chun-Pin - In: Banking and finance review 7 (2015) 1, pp. 19-31

Persistent link: https://www.econbiz.de/10011443808

A differential evolution copula-based approach for a multi-period cryptocurrency portfolio optimization

Mba, Jules Clement; Pindza, Edson; Koumba, Ur - In: Financial markets and portfolio management 32 (2018) 4, pp. 399-418

Persistent link: https://www.econbiz.de/10011952000

Portfolio optimization through hybrid deep learning and genetic algorithms vine Copula-GARCH-EVT-CVaR model

Bedoui, Rihab; Benkraiem, Ramzi; Guesmi, Khaled; … - In: Technological forecasting & social change : an … 197 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014468847

Solving the value-at-risk minimisation model with linear programming techniques

Xu, Chunhui; Huang, Xiaolin; Huo, Yanli; Wang, Shuning - In: Asian journal of management science and applications : AJMSA 2 (2015/2016) 3, pp. 228-244

Persistent link: https://www.econbiz.de/10011713533