Asset allocation with correlation: a composite trade-off
From MaRDI portal
Publication:1683161
DOI10.1016/j.ejor.2017.04.015zbMath1375.90147OpenAlexW2607455059MaRDI QIDQ1683161
Rachael Carroll, John Cotter, Thomas Conlon, Enrique Salvador
Publication date: 6 December 2017
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2017.04.015
Related Items
Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics, Integrated dynamic models for hedging international portfolio risks, An omega portfolio model with dynamic return thresholds, Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models, Minimum Rényi entropy portfolios, Long horizon predictability: an asset allocation perspective, Estimation of the global minimum variance portfolio in high dimensions, Horses for courses: mean-variance for asset allocation and \(1/N\) for stock selection, Long-run wavelet-based correlation for financial time series
Cites Work
- Direct shrinkage estimation of large dimensional precision matrix
- Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets
- Dynamic portfolio optimization with transaction costs and state-dependent drift
- Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach
- On loss functions and ranking forecasting performances of multivariate volatility models
- Portfolio rebalancing model using multiple criteria
- Dominating estimators for minimum-variance portfolios
- Is the predictability of emerging and developed stock markets really exploitable?
- Portfolio selection in stochastic markets with HARA utility functions
- Mean-variance-skewness model for portfolio selection with fuzzy returns
- More possessions, more worry
- Bayesian estimation of the global minimum variance portfolio
- A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs
- Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment
- Portfolio selection with skewness: a comparison of methods and a generalized one fund result
- Portfolio optimization when asset returns have the Gaussian mixture distribution
- 60 years of portfolio optimization: practical challenges and current trends
- Theoretical and empirical estimates of mean-variance portfolio sensitivity
- Dynamic asset allocation for varied financial markets under regime switching framework
- A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
- The Stationary Bootstrap