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Time-varying combinations of Bayesian dynamic models and equity momentum strategies

Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016

A novel dynamic asset-allocation approach is proposed where portfolios as well as portfolio strategies are updated at every decision period based on their past performance. For modeling, a general class of models is specified that combines a dynamic factor and a vector autoregressive model and...

Persistent link: https://www.econbiz.de/10011563065

Value-at-risk estimation with stochastic interest rate models for option-bond portfolios

Wang, Xiaoyu; Xie, Dejun; Jiang, Jingjing; Wu, Xiaoxia; … - In: Finance research letters 21 (2017), pp. 10-20

Persistent link: https://www.econbiz.de/10011807256

Confidence sets for asset correlations in portfolio credit risk

Castro Iragorri, Carlos Alberto - In: Revista de economía del Rosario 15 (2012) 1, pp. 19-58

Persistent link: https://www.econbiz.de/10010208712

Hedging longevity risk under non-Gaussian state-space stochastic mortality models : a mean-variance-skewness-kurtosis approach

Li, Johnny Siu-Hang; Liu, Yanxin; Chan, Wai-Sum - In: Insurance / Mathematics & economics 113 (2023), pp. 96-121

Persistent link: https://www.econbiz.de/10014466206

Machine learning for continuous-time finance

Duarte, Victor; Duarte, Diogo; Silva, Dejanir H. - In: The review of financial studies 37 (2024) 11, pp. 3217-3271

Persistent link: https://www.econbiz.de/10015359477

Pairs trading of two assets with uncertainty in co-integration's level of mean reversion

Lee, Sangmin; Papanicolaou, Andrew - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-36

Persistent link: https://www.econbiz.de/10011686768

Informative option portfolios in filter design for option pricing models

Orłowski, Piotr - In: Quantitative finance 21 (2021) 6, pp. 945-965

Persistent link: https://www.econbiz.de/10012515627

Comparison of Kriging-based algorithms for simulation optimization with heterogeneous noise

Jalali, Hamed; Van Nieuwenhuyse, Inneke; Picheny, Victor - In: European journal of operational research : EJOR 261 (2017) 1, pp. 279-301

Persistent link: https://www.econbiz.de/10011765027

Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading

Shephard, Neil G.; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 1, pp. 19-42

Persistent link: https://www.econbiz.de/10011917413

Multivariate time-varying parameter modelling for stock markets

Neslihanoglu, Serdar; Bekiros, Stelios; McColl, John H.; … - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 947-972

Persistent link: https://www.econbiz.de/10012616913