On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH (Q2288978)
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scientific article; zbMATH DE number 7153644
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| English | On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH |
scientific article; zbMATH DE number 7153644 |
Statements
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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0.7007342576980591
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0.691288948059082
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0.6905032992362976
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0.6892817616462708
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0.6850827932357788
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