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