Intradaily dynamic portfolio selection

DOI10.1016/j.csda.2009.05.027zbMath1284.91511OpenAlexW1977583427MaRDI QIDQ2445697

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) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Portfolio theory (91G10)

Related Items (4)

Multiobjective portfolio optimization of ARMA-GARCH time series based on experimental designs ⋮ Jump robust daily covariance estimation by disentangling variance and correlation components ⋮ Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment ⋮ Applications of the characteristic function-based continuum GMM in finance

Uses Software

• CAViaR
• Ox

Cites Work

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• The Wishart autoregressive process of multivariate stochastic volatility
• An econometric analysis of nonsynchronous trading
• Extremal financial risk models and portfolio evaluation
• A spectral representation for max-stable processes
• Portfolio selection under VaR constraints
• Coherent Measures of Risk

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