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
portfolio optimizationrebalancingasset allocationmutual fundsvolatility modellingETFsnon-convex policy constraints
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
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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