On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH (Q2288978): Difference between revisions

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Latest revision as of 07:40, 27 August 2024

scientific article
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English
On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH
scientific article

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    On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH (English)
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    20 January 2020
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    asset allocation
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    rebalancing
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    volatility modelling
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    portfolio optimization
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    non-convex policy constraints
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    mutual funds
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    ETFs
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