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Through-the-cycle to point-in-time probabilities of default conversion : inconsistencies in the Vasicek approach

Basson, L. J.; Van Vuuren, Gary - In: International journal of economics and financial issues … 13 (2023) 6, pp. 42-52

Persistent link: https://www.econbiz.de/10014431298

The prominence of stationarity in time series forecasting

Greunen, J. van; Heymans, A.; Van Heerden, Chris; Van … - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 38 (2014) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10010377068

A review and update of value at risk

Maxwell, D.; Van Vuuren, Gary - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 38 (2014) 3, pp. 79-101

Persistent link: https://www.econbiz.de/10010517315

Feasible portfolios under tracking error, β, α and utility constraints

Daly, Michael; Maxwell, Michael; Van Vuuren, Gary - In: Investment management and financial innovations 15 (2018) 1, pp. 141-153

Persistent link: https://www.econbiz.de/10012001419

The maximum diversification investment strategy : a portfolio performance comparison

Theron, Ludan; Van Vuuren, Gary - In: Cogent economics & finance 6 (2018) 1, pp. 1-16

The efficacy of four different portfolio allocation strategies is evaluated according to their absolute returns during different economic conditions over a period of 10 years. A comparison is drawn between the Most Diversified portfolio (MD) and three alternatives; a Minimum Variance portfolio,...

Persistent link: https://www.econbiz.de/10011891272

The impact of systemic loss given default on economic capital

Van Dyk, Jenni; Lange, Jaun; Van Vuuren, Gary - In: International business and economics research journal 16 (2017) 2, pp. 87-100

Persistent link: https://www.econbiz.de/10011701563

Attribution of hedge fund returns using a Kalman filter

Thomson, Daniel; Van Vuuren, Gary - In: Applied economics 50 (2018) 9, pp. 1043-1058

Persistent link: https://www.econbiz.de/10011848239

Portfolio performance under tracking error and asset weight constraints

Daly, Michael H.; Van Vuuren, Gary - In: Journal of economic and financial sciences : JEF 13 (2020) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10012321264

Investment implications of the Fractal Market Hypothesis

Karp, Adam; Van Vuuren, Gary - In: Annals of financial economics 14 (2019) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10012015460

Optimizing tracking error-constrained portfolios

Maxwell, Michael; Daly, Michael; Thomson, Daniel; Van … - In: Applied economics 50 (2018) 54, pp. 5846-5858

Persistent link: https://www.econbiz.de/10012062920