Portfolio optimization when risk factors are conditionally varying and heavy tailed
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- Toker Doganoglu & Christoph Hartz & Stefan Mittnik, 2007. "Portfolio optimization when risk factors are conditionally varying and heavy tailed," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 333-354, May.
References listed on IDEAS
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Cited by:
- Clara Calvo & Carlos Ivorra & Vicente Liern & Blanca Pérez-Gladish, 2021. "Grading Investment Diversification Options in Presence of Non-Historical Financial Information," Mathematics, MDPI, vol. 9(6), pages 1-11, March.
- Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013.
"Stable mixture GARCH models,"
Journal of Econometrics, Elsevier, vol. 172(2), pages 292-306.
- Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE, 2011. "Stable Mixture GARCH Models," Swiss Finance Institute Research Paper Series 11-39, Swiss Finance Institute.
- Margherita Giuzio & Sandra Paterlini, 2019.
"Un-diversifying during crises: Is it a good idea?,"
Computational Management Science, Springer, vol. 16(3), pages 401-432, July.
- Margherita Giuzio & Sandra Paterlini, 2016. "Undiversifying during Crises: Is It a Good Idea?," Working Papers (Old Series) 1628, Federal Reserve Bank of Cleveland.
- Thiemo Krink & Sandra Paterlini, 2008.
"Differential Evolution for Multiobjective Portfolio Optimization,"
Center for Economic Research (RECent)
021, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Thiemo Krink & Sandra Paterlini, 2008. "Differential Evolution for Multiobjective Portfolio Optimization," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08012, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Salhi, Khaled & Deaconu, Madalina & Lejay, Antoine & Champagnat, Nicolas & Navet, Nicolas, 2016. "Regime switching model for financial data: Empirical risk analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 148-157.
- Thiemo Krink & Sandra Paterlini, 2008.
"Differential Evolution for Multiobjective Portfolio Optimization,"
Center for Economic Research (RECent)
021, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Thiemo Krink & Sandra Paterlini, 2008. "Differential Evolution for Multiobjective Portfolio Optimization," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0007, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Mainik, Georg & Mitov, Georgi & Rüschendorf, Ludger, 2015. "Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 115-134.
- Calzolari, Giorgio & Halbleib, Roxana, 2018. "Estimating stable latent factor models by indirect inference," Journal of Econometrics, Elsevier, vol. 205(1), pages 280-301.
- Marc S. Paolella, 2016. "Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability," Econometrics, MDPI, vol. 4(2), pages 1-28, May.
- Georg Mainik & Georgi Mitov & Ludger Ruschendorf, 2015. "Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz," Papers 1505.04045, arXiv.org.
- K. Liagkouras & K. Metaxiotis, 2019. "Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem," Annals of Operations Research, Springer, vol. 272(1), pages 119-137, January.
- Matteo Bonato, 2012. "Modeling fat tails in stock returns: a multivariate stable-GARCH approach," Computational Statistics, Springer, vol. 27(3), pages 499-521, September.
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More about this item
Keywords
Multivariate Stable Distribution; Index Model; Portfolio Optimization; Value-at- Risk; Model Adequacy;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
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