A study on modeling the dynamics of statistically dependent returns

DOI10.1016/J.PHYSA.2014.02.077MaRDI QIDQ1782797zbMATH OpenOpenAlexFDO

Authors Abbas Seifi, Hamed Davari-Ardakani, Majid Aminnayeri

Publication date 20 September 2018

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2014.02.077

zbMATH Keywords

serial correlationstatistical dependencemulti-period portfolioheteroskedastic time seriesscenario set

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cites work

• A heuristic for moment-matching scenario generation
• A new look at the statistical model identification
• A review of scenario generation methods
• Analysis of Financial Time Series
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Comment on “Generating Scenario Trees for Multistage Decision Problems”
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Estimating the dimension of a model
• Evaluation of scenario generation methods for stochastic programming
• Generalized autoregressive conditional heteroscedasticity
• Generating scenario trees for multistage decision problems
• HMM based scenario generation for an investment optimisation problem
• Introduction to Stochastic Programming
• Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and cVaR-based risk control
• On relation between expected regret and conditional value-at-risk
• Optimal consumption and investment problems under GARCH with transaction costs
• Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
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• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
• Scenario generation for stochastic programming and simulation: a modelling perspective
• Scenario tree generation and multi-asset financial optimization problems
• Simulation and optimization approaches to scenario tree generation
• Stochastic optimization of electricity portfolios: scenario tree modeling and risk management
• Stochastic programming method for multiperiod consumption and investment problems with transactions costs
• The Johnson System: Selection and Parameter Estimation
• The performance of stochastic dynamic and fixed mix portfolio models

Cited in

(6)

• Wealth management: modeling the nonlinear dependence
• A note on statistical models for individual hedge fund returns
• Analysing Financial Returns by Using Regression Models Based on Non-Symmetric Stable Distributions
• Multistage portfolio optimization with stocks and options
• A Stylized Model for Long-Run Index Return Dynamics
• A multistage stochastic programming framework for cardinality constrained portfolio optimization

Describes a project that uses

Uses Software

• FinTS

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