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Down-side risk metrics as portfolio diversification strategies across the global financial crisis
Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-18
investment strategies and a variety of hold-out periods and backtests. We commence by using four two-year estimation periods and …-side investment optimisation strategies. We begin by comparing Markowitz with CVaR, and then proceed to evaluate the relative …
Persistent link: https://www.econbiz.de/10011543960
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European market portfolio diversification strategies across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2014
of hold-out periods and back-tests. We commence by using four two year estimation periods and subsequent one year … opimisation strategies. We begin by comparing Markowitz with CVaR, and then proceed to evaluate the relative effectiveness of …
Persistent link: https://www.econbiz.de/10010414201
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Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert J.; … - 2015
and a variety of hold-out periods and back-tests. We commence by using four two year estimation periods and subsequent one …-side investment optimisation strategies. We begin by comparing Markowitz with CVaR, and then proceed to evaluate the relative …
Persistent link: https://www.econbiz.de/10011403579
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Down-side risk metrics as portfolio diversification strategies across the global financial crisis
Allen, David E.; McAleer, Michael; Powell, Robert J.; … - In: Journal of Risk and Financial Management 9 (2016) 2, pp. 1-18
investment strategies and a variety of hold-out periods and backtests. We commence by using four two-year estimation periods and …-side investment optimisation strategies. We begin by comparing Markowitz with CVaR, and then proceed to evaluate the relative …
Persistent link: https://www.econbiz.de/10011843271
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European Market Portfolio Diversification Strategies across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert J.; … - 2014
of hold-out periods and back-tests. We commence by using four two year estimation periods and subsequent one year … opimisation strategies. We begin by comparing Markowitz with CVaR, and then proceed to evaluate the relative effectiveness of …
Persistent link: https://www.econbiz.de/10010491366
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European Market Portfolio Diversifcation Strategies across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert J.; … - Department of Economics and Finance, College of … - 2014
of hold-out periods and back-tests. We commence by using four two year estimation periods and subsequent one year … opimisation strategies. We begin by comparing Markowitz with CVaR, and then proceed to evaluate the relative effectiveness of …
Persistent link: https://www.econbiz.de/10010939134
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European Market Portfolio Diversification Strategies across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert J.; … - Tinbergen Instituut - 2014
of hold-out periods and back-tests. We commence by using four two year estimation periods and subsequent one year … opimisation strategies. We begin by comparing Markowitz with CVaR, and then proceed to evaluate the relative effectiveness of …
Persistent link: https://www.econbiz.de/10011272588
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Hedge Fund Portfolio Diversification Strategies Across the GFC
Allen, David E.; McAleer, Michael; Peiris, Shelton; … - Department of Economics and Finance, College of … - 2014
This paper features an analysis of the effectiveness of a range of portfolio diversification strategies as applied to a set of 17 years of monthly hedge fund index returns on a set of ten market indices representing 13 major hedge fund categories, as compiled by the EDHEC Risk Institute. The...
Persistent link: https://www.econbiz.de/10011097862
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European Market Portfolio Diversification Strategies across the GFC
Allen, David Edmund; McAleer, Michael; Powell, Robert J.; … - Facultad de Ciencias Económicas y Empresariales, … - 2014
of hold-out periods and back-tests. We commence by using four two year estimation periods and subsequent one year … opimisation strategies. We begin by comparing Markowitz with CVaR, and then proceed to evaluate the relative effectiveness of …
Persistent link: https://www.econbiz.de/10011079165
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Down-side risk metrics as portfolio diversification strategies across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
Persistent link: https://www.econbiz.de/10011432732