Intradaily dynamic portfolio selection

DOI10.1016/J.CSDA.2009.05.027MaRDI QIDQ2445697zbMATH OpenOpenAlexFDO

Authors Luc Bauwens, Walid Ben Omrane, Erick Rengifo

Publication date 14 April 2014

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2009.05.027

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 41105 (Why is no real title available?)
• A spectral representation for max-stable processes
• An econometric analysis of nonsynchronous trading
• Coherent measures of risk
• Extremal financial risk models and portfolio evaluation
• Portfolio optimization under VaR constraints based on dynamic estimates of the variance-covariance matrix
• Portfolio selection under VaR constraints
• The Wishart autoregressive process of multivariate stochastic volatility

Cited in

(6)

• Jump robust daily covariance estimation by disentangling variance and correlation components
• Applications of the characteristic function-based continuum GMM in finance
• Global European portfolio construction: Does a changing volatility structure matter?
• The applications of foreign exchange portfolio selection based on GARCH model
• Multiobjective portfolio optimization of ARMA-GARCH time series based on experimental designs
• Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment

Describes a project that uses

Uses Software

• Ox
• CAViaR

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