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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
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Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
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Essays in portfolio selection
Giuzio, Margherita - 2017
Persistent link: https://www.econbiz.de/10011914236
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Genetic algorithm-based portfolio optimization with higher moments in global stock markets
Kshatriya, Saranya; Prasanna, Krishna - In: Journal of risk 20 (2017/2018) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10011848918
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Practical applications of evolutionary computation to financial engineering : robust techniques for forecasting, trading and hedging
Iba, Hitoshi; Aranha, Claus C. - 2012 - 1., Aufl.
Persistent link: https://www.econbiz.de/10009522784
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Modeling for project portfolio benefit prediction via a GA-BP neural network
Tian, Yuanyuan; Bai, LiBiao; Wei, Lan; Zheng, Kanyin; … - In: Technological forecasting & social change : an … 183 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013473200
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Optimizing genetic algorithm with momentum strategy for technical trading rules : evidence from futures markets
Li, Shihan; Li, Shuyao; Liu, Qingfu; Tse, Yiuman - 2024
Persistent link: https://www.econbiz.de/10015110710
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Multivariate asset return prediction with mixture models
Paolella, Marc S. - 2011
numerically reliable estimation. Crucially, the distribution theory required for portfolio theory and risk assessment is developed …
Persistent link: https://www.econbiz.de/10009375153
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Multivariate asset return prediction with mixture models
Paolella, Marc S. - In: The European journal of finance 21 (2015) 13/15, pp. 1214-1252
Persistent link: https://www.econbiz.de/10011419842
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Predicting international equity returns: evidence from time-varying parameter vector autoregressive models
Gupta, Rangan; Huber, Florian; Piribauer, Philipp - In: International review of financial analysis 68 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012300967