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A particle swarm optimization copula-based approach with application to cryptocurrency portfolio optimisation
Mba, Jules Clément; Mai, Magdaline Mbong - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-14
adequate understanding of this emerging market as well as adequate tools to model the market risk and efficient allocation of … stablecoins (USDT and USDC). We examine the copula particle swarm optimization (CPSO) portfolio strategy against three other …
Persistent link: https://www.econbiz.de/10013369573
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Hedging IMO2020 compliant fuel price exposure using futures contracts
Bai, Xiwen; Kavussanos, Manolis G. - In: Energy economics 110 (2022), pp. 1-12
Persistent link: https://www.econbiz.de/10013349877
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Tail risk optimized portfolio across states in Asia-Pacific markets with higher-order dependence
Kumar, Saurav; Bhattacharya, Sujoy; Mandal, Satrajit - In: Macroeconomics and finance in emerging market economies 15 (2022) 2, pp. 177-195
Persistent link: https://www.econbiz.de/10013350325
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We don't need no fancy hedges! Or do we?
Vedenov, Dmitrij V.; Power, Gabriel J. - In: International review of financial analysis 81 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013375398
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A concept of copula robustness and its applications in quantitative risk management
Zähle, Henryk - In: Finance and stochastics 26 (2022) 4, pp. 825-875
Persistent link: https://www.econbiz.de/10013440253
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A multivariate extension of the Lorenz curve based on copulas and a related multivariate Gini coefficient
Grothe, Oliver; Kächele, Fabian; Schmid, Friedrich - In: Journal of economic inequality 20 (2022) 3, pp. 727-748
Persistent link: https://www.econbiz.de/10013442158
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Dependence structure between money and economic activity : a Markov-switching copula VEC approach
Serletis, Apostolos; Xu, Libo - In: Macroeconomic dynamics 26 (2022) 8, pp. 2141-2160
Persistent link: https://www.econbiz.de/10013469790
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Going beyond gold : can equities be safe-haven?
SG, Janani Sri; Kayal, Parthajit - 2020
Persistent link: https://www.econbiz.de/10013471108
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A regime-switching real-time copula GARCH model for optimal futures hedging
Lee, Hsiang-Tai; Lee, Chien-Chiang - In: International review of financial analysis 84 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013472897
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Data-driven dynamic treatment planning for chronic diseases
Naumzik, Christof; Feuerriegel, Stefan; Nielsen, Anne … - In: European journal of operational research : EJOR 305 (2023) 2, pp. 853-867
Persistent link: https://www.econbiz.de/10013479335