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Semi-metric portfolio optimization : a new algorithm reducing simultaneous asset shocks
James, Nick; Menzies, Max; Chan, Jennifer - In: Econometrics : open access journal 11 (2023) 1, pp. 1-33
between time series' structural breaks. Then, we build on the classical portfolio optimization theory of Markowitz and use …
Persistent link: https://www.econbiz.de/10014281489
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Tests for market model instability : an empirical comparison of tests using recursive residuals
Knif, Johan - 1988
Persistent link: https://www.econbiz.de/10000126783
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Outperforming the market using biliniarities in fundamentals and macroeconomic variables
Kloek, Teunis; Lucas, André; Dijk, Ronald van - 1995
Persistent link: https://www.econbiz.de/10000922344
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Optimal hedging strategy re-visited : acknowledging the existence of non-stationary economic time series
Qian, Ying; Duncan, Ronald C. - 1994
Persistent link: https://www.econbiz.de/10000886959
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Aktienprognosen zur Portfolio-Optimierung
Marx, Stefan - 1996
Persistent link: https://www.econbiz.de/10000945612
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Arbitrage valuation of variance forecasts with simulated options
Engle, Robert F. (contributor) - 1992 - Rev
Persistent link: https://www.econbiz.de/10000841635
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Schätzung von variierenden Beta-Koeffizienten mit dem Kalman-Filter
Boos, Anna Carri - 1988
Persistent link: https://www.econbiz.de/10000746710
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Finanzanalyse : Grundlagen der markttechnischen Analyse
Stöttner, Rainer - 1989
Persistent link: https://www.econbiz.de/10000778876
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Nonlinear long memory models with applications in finance
Zaffaroni, Paolo - 1997
Persistent link: https://www.econbiz.de/10001397476