Zobrazeno 1 - 10
of 48
pro vyhledávání: '"Equal risk contribution"'
Publikováno v:
Investment Management & Financial Innovations, Vol 20, Iss 4, Pp 99-111 (2023)
This paper uses Markowitz’s mean-variance model to construct an investment portfolio incorporating multiple assets – BRICS equity indices, Gold, crude oil, bonds, and cryptocurrencies. The optimally created risky portfolios outperform alternative
Externí odkaz:
https://doaj.org/article/255f749906b94a708f994b9e9785eb37
The best-fitting model(s) of equal risk contribution: evidence from environmental-friendly portfolio
Autor:
Nugroho, Bayu Adi
Publikováno v:
International Journal of Managerial Finance, 2022, Vol. 18, Issue 4, pp. 756-782.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/IJMF-09-2021-0435
Akademický článek
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Publikováno v:
تحقیقات مالی, Vol 24, Iss 3, Pp 353-374 (2022)
Objective: In recent years, in particular after the 2008 financial crisis, factor investing received widespread attention from asset managers around the world. Due to the lack of enough research in this area in the Iranian capital market, the purpose
Externí odkaz:
https://doaj.org/article/6aa271b402ee4172bf5ae269047e148f
Autor:
Jaehyuk Choi, Rong Chen
Publikováno v:
Seonmul yeongu, Vol 30, Iss 2, Pp 114-124 (2022)
Risk parity, also known as equal risk contribution, has recently gained increasing attention as a portfolio allocation method. However, solving portfolio weights must resort to numerical methods as the analytic solution is not available. This study i
Externí odkaz:
https://doaj.org/article/34e156e271c34dad9f3f1ca7a5ec05fa
Autor:
Das, Santanu, Kumar, Ashish
Publikováno v:
Managerial Finance, 2021, Vol. 47, Issue 10, pp. 1448-1464.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/MF-12-2020-0596
Autor:
Nugroho, Bayu Adi
Publikováno v:
Journal of Capital Markets Studies, 2021, Vol. 5, Issue 1, pp. 28-48.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/JCMS-01-2021-0002
Autor:
Bayu Adi Nugroho
Publikováno v:
Journal of Capital Markets Studies, Vol 5, Iss 1, Pp 28-48 (2021)
Purpose – It is crucial to find a better portfolio optimization strategy, considering the cryptocurrencies' asymmetric volatilities. Hence, this research aimed to present dynamic optimization on minimum variance (MVP), equal risk contribution (ERC)
Externí odkaz:
https://doaj.org/article/ec3f1d7b5c2d445b8b73e1a9ed8071b0
Autor:
Selim Baha YILDIZ
Publikováno v:
Yönetim ve Ekonomi, Vol 27, Iss 2, Pp 353-367 (2020)
This study compares the return-risk performance of the BIST 30 Index, for which weighted market value was computed for the 2013-2018 period, and the performance of portfolios, for which the weights of the stocks in the index were determined according
Externí odkaz:
https://doaj.org/article/49d3aca6fd9f4518ab8dd2bcdb0407ec
Autor:
Adrian Millea, Abbas Edalat
Publikováno v:
International Journal of Financial Studies, Vol 11, Iss 1, p 10 (2022)
We devise a hierarchical decision-making architecture for portfolio optimization on multiple markets. At the highest level a Deep Reinforcement Learning (DRL) agent selects among a number of discrete actions, representing low-level agents. For the lo
Externí odkaz:
https://doaj.org/article/7007d4a3fe9040c996a170c988e033a4