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pro vyhledávání: '"Gasparavičius, Ignas"'
This survey article is dedicated to the life of the famous American economist H. Markowitz (1927--2023). We do revisit the main statements of the portfolio selection theory in terms of mathematical completeness including all the necessary auxiliary d
Externí odkaz:
http://arxiv.org/abs/2402.10253
Autor:
Gasparavičius, Ignas
The aim of this thesis is to construct a universal investment allocation model with integrated macroeconomic indicators (GDP and inflation expectations) for investment horizon analysis. Markowitz mean-variance and risk parity methods are applied in t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______4036::b0997e5188bd8fc43763bfd5872391c5
https://repository.vu.lt/VU:ELABAETD157853781&prefLang=en_US
https://repository.vu.lt/VU:ELABAETD157853781&prefLang=en_US
Autor:
Gasparavičius, Ignas
Since 1976, the inverse relationship between stock returns and their volatility has been studied and constructed in models, strategies, and methods. The idea of this work is to explore the efficiency of the volatility timing strategy in dealing with
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::1b35122d447af3c5577a867c07c09408
https://repository.vu.lt/VU:ELABAETD107118313&prefLang=en_US
https://repository.vu.lt/VU:ELABAETD107118313&prefLang=en_US