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Long-run PPP under the presence of near-to-unit roots: The case of the British Pound-US dollar rate
(2009)
Empirical tests typically provide evidence that the British pound-US dollar exchange rate and the relative wholesale price index contain exact unit roots and exhibit cointegration. However, the cointegrating vector is ...
Robust multiobjective portfolio optimization: A minimax regret approach
(2017)
An efficient frontier in the typical portfolio selection problem provides an illustrative way to express the tradeoffs between return and risk. Following the basic ideas of modern portfolio theory as introduced by Markowitz, ...
Robust minimum variance portfolio optimization modelling under scenario uncertainty
(2017)
Our purpose in this article is to develop a robust optimization model which minimizes portfolio variance for a finite set of covariance matrices scenarios. The proposed approach aims at the proper selection of portfolios, ...
Multiobjective portfolio optimization: bridging mathematical theory with asset management practice
(2016)
We attempt to establish an integrated portfolio optimization business framework, in order to bridge the underlying gap between the complex mathematical theory of multiobjective mathematical programming and asset management ...
An Integrated Matching-Immunization Model for Bond Portfolio Optimization
(2016)
We propose an integrated bond portfolio optimization model based on the popular cash-flow matching and immunization strategies. The underlying mathematical program, not only minimizes the initial required capital for the ...
The role of economic uncertainty in forecasting exchange rate returns and realized volatility: Evidence from quantile predictive regressions
(2018)
In this paper, we investigate whether the news-based measure of economic policy uncertainty (EPU) can be used to forecast exchange rate returns and volatility using a quantile regression approach, which accounts for ...
Nonlinear equilibrium adjustment dynamics and predictability of the term structure of interest rates
(2018)
We analyze money market dynamics under a long-run equilibrium framework where commonly-monitored spreads serve as error correction terms, derived from a structural model incorporating autocorrelated risk premia, interest ...
Robust portfolio optimization: a categorized bibliographic review
(2020)
Robust portfolio optimization refers to finding an asset allocation strategy whose behavior under the worst possible realizations of the uncertain inputs, e.g., returns and covariances, is optimized. The robust approach ...