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

DOI10.1007/s10479-018-3056-zzbMath1430.91093OpenAlexW2890264983WikidataQ129232008 ScholiaQ129232008MaRDI QIDQ2288978

Panos Xidonas, Mike G. Tsionas, Constantin Zopounidis

Publication date: 20 January 2020

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-018-3056-z

zbMATH Keywords

portfolio optimizationrebalancingasset allocationmutual fundsvolatility modellingETFsnon-convex policy constraints

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Uses Software

• IPSSIS
• RiskMetrics

Cites Work

• IPSSIS: an integrated multicriteria decision support system for equity portfolio construction and selection
• Robust portfolios: contributions from operations research and finance
• A simple algorithm to incorporate transactions costs in quadratic optimization
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Comparative issues between linear and non-linear risk measures for non-convex portfolio optimization: evidence from the S&P 500

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