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Engle, Robert F.; Giglio, Stefano; Kelly, Bryan T.; … - 2019

Persistent link: https://www.econbiz.de/10012015507

Engle, Robert F.; Giglio, Stefano; Lee, Heebum; Kelly, … - 2019 - This version: May 7, 2019

We propose and implement a procedure to dynamically hedge climate change risk. We extract innovations from climate news series that we construct through textual analysis of newspapers. We then use a mimicking portfolio approach to build climate change hedge portfolios. We discipline the exercise...

Persistent link: https://www.econbiz.de/10012024377

Diversification versus optimality : is there really a diversification puzzle?

Ortobelli Lozza, Sergio; Wong, Wing Keung; Fabozzi, Frank J. - In: Applied economics 50 (2018) 43, pp. 4671-4693

Persistent link: https://www.econbiz.de/10012061607

Hedging macroeconomic and financial uncertainty and volatility

Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2019

Persistent link: https://www.econbiz.de/10012124936

Hedging climate change news

Engle, Robert F.; Giglio, Stefano; Kelly, Bryan T.; … - In: The review of financial studies 33 (2020) 3, pp. 1184-1216

Persistent link: https://www.econbiz.de/10012198087

Multi-factor equity risk models

Fabozzi, Frank J.; Jones, Frank Joseph; Vardharaj, Raman - In: The theory and practice of investment management, (pp. 343-372). 2002

Persistent link: https://www.econbiz.de/10001730001

Portfolio selection under distributional uncertainty : a relative robust CVaR approach

Huang, Dashan; Zu, Shushang; Fabozzi, Frank J.; … - In: European journal of operational research : EJOR 203 (2010) 1, pp. 185-194

Persistent link: https://www.econbiz.de/10003928195

Optimal corporate strategy under uncertainty

Chen, Andrew H.; Fabozzi, Frank J.; Huang, Dashan - In: Applied economics 45 (2013) 19/21, pp. 2877-2882

Persistent link: https://www.econbiz.de/10010192369

Index-exciting CAViaR : a new empirical time-varying risk model

Huang, Dashan; Yu, Baimin; Lu, Zu-di; Fabozzi, Frank J.; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 2, pp. 1-24

Persistent link: https://www.econbiz.de/10009514126

The proper use of risk measures in portfolio theory

Ortobelli, Sergio; Račev, Svetlozar T.; Stoyanov, Stoyan; … - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 1107-1133

Persistent link: https://www.econbiz.de/10003280039