Intradaily dynamic portfolio selection
DOI10.1016/J.CSDA.2009.05.027zbMATH Open1284.91511OpenAlexW1977583427MaRDI QIDQ2445697FDOQ2445697
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
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Portfolio theory (91G10)
Cites Work
- Coherent measures of risk
- A spectral representation for max-stable processes
- Title not available (Why is that?)
- The Wishart autoregressive process of multivariate stochastic volatility
- An econometric analysis of nonsynchronous trading
- Extremal financial risk models and portfolio evaluation
- Portfolio selection under VaR constraints
- Portfolio optimization under VaR constraints based on dynamic estimates of the variance-covariance matrix
Cited In (5)
- 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?
- 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
Uses Software
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