Add to ORKGMarkowitz has lifted portfolio theory to scientific level by introducing mean-variance framework. Minimum Variance portfolio, unique portfolio on the mean-variance efficient portfolio, has attracted a lot of interest as it is independent of returns expectations. However, the approach has plenty of limitations. Maillard et al (2009) have presented related approach of Equally-weighted Risk Contributions (ERC) portfolio strategy, where risk contributions of the various portfolio components are equalised. In this dissertation, properties of ERC portfolios and their estimation are being closely examined and its performance compared with performance of three other portfolio optimisation strategies (MV, 1/n and passive)
Minimum variance and equally-weighted portfolios have recently prompted great interest both from aca...
In this study, we aimed to test the performance of risk parity portfolios against classically optimi...
This paper adopts a Bayesian Model Averaging procedure to forecast excess returns. With a dataset co...
This paper seeks to develop a better statistical understanding of the paradigm of Markowitz mean var...
Following the 2007-2008 financial crisis and acceleration of economic globalization, more market par...
In this paper we propose an extensive empirical analysis on three different categories of portfolio ...
In this paper, we propose an extensive empirical analysis on three categories of portfolio selection...
Portfolio optimization is a hot topic nowadays, this new type of investment research and analysis be...
The minimum variance portfolio and equally-weighted portfolio have been used extensively in the fina...
During this study, we employed an artificial intelligent technique in order to solve the problem of ...
In this paper we propose an extensive empirical analysis on three different categories of portfolio...
The classical Markowitz portfolio optimisation was a powerful intellectual concept with epochal effe...
The mean-variance approach was first proposed by Markowitz (1952), and laid the foundation of the mo...
After the work by Markowitz (1952), portfolio selection has gained a great relevance in financial li...
Optimal portfolio selection has been an area of great focus ever since the inception of modern portf...
Minimum variance and equally-weighted portfolios have recently prompted great interest both from aca...
In this study, we aimed to test the performance of risk parity portfolios against classically optimi...
This paper adopts a Bayesian Model Averaging procedure to forecast excess returns. With a dataset co...
This paper seeks to develop a better statistical understanding of the paradigm of Markowitz mean var...
Following the 2007-2008 financial crisis and acceleration of economic globalization, more market par...
In this paper we propose an extensive empirical analysis on three different categories of portfolio ...
In this paper, we propose an extensive empirical analysis on three categories of portfolio selection...
Portfolio optimization is a hot topic nowadays, this new type of investment research and analysis be...
The minimum variance portfolio and equally-weighted portfolio have been used extensively in the fina...
During this study, we employed an artificial intelligent technique in order to solve the problem of ...
In this paper we propose an extensive empirical analysis on three different categories of portfolio...
The classical Markowitz portfolio optimisation was a powerful intellectual concept with epochal effe...
The mean-variance approach was first proposed by Markowitz (1952), and laid the foundation of the mo...
After the work by Markowitz (1952), portfolio selection has gained a great relevance in financial li...
Optimal portfolio selection has been an area of great focus ever since the inception of modern portf...
Minimum variance and equally-weighted portfolios have recently prompted great interest both from aca...
In this study, we aimed to test the performance of risk parity portfolios against classically optimi...
This paper adopts a Bayesian Model Averaging procedure to forecast excess returns. With a dataset co...