Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Economic Dynamics and Control"
DOI: 10.1016/j.jedc.2018.05.004
Abstract: We study a continuous time optimal portfolio allocation problem with volatility and co-jump risk, allowing prices, variances and covariances to jump simultaneously. Differently from the traditional approach, we deviate from affine models by specifying a… read more here.
Keywords: jump; volatility; portfolio allocation; optimal portfolio ... See more keywords
Greenness Index: IPO performance and portfolio allocation
Sign Up to like & getrecommendations! Published in 2021 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2021.101398
Abstract: Abstract This study examines how the greenness of the firm affects the short- and long-term performance of IPOs. To measure the greenness of the firm, we develop the Greenness Index based on the emissions produced.… read more here.
Keywords: performance; green firms; greenness index; portfolio allocation ... See more keywords
PORTFOLIO ALLOCATION AS THE PRESIDENT'S CALCULATIONS: LOYALTY, COPARTISANSHIP, AND POLITICAL CONTEXT IN SOUTH KOREA
Sign Up to like & getrecommendations! Published in 2018 at "Journal of East Asian Studies"
DOI: 10.1017/jea.2018.16
Abstract: Abstract How do the president's calculations in achieving policy goals shape the allocation of cabinet portfolios? Despite the growing literature on presidential cabinet appointments, this question has barely been addressed. I argue that cabinet appointments… read more here.
Keywords: president calculations; portfolio; portfolio allocation; south korea ... See more keywords
The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management
Sign Up to like & getrecommendations! Published in 2017 at "Quantitative Finance"
DOI: 10.1080/14697688.2016.1205211
Abstract: In contrast to single-period mean-variance (MV) portfolio allocation, multi-period MV optimal portfolio allocation can be modified slightly to be effectively a down-side risk measure. With this in mind, we consider multi-period MV optimal portfolio allocation… read more here.
Keywords: portfolio; mean variance; portfolio allocation; wealth management ... See more keywords
Gamson's Law and voters’ perceptions of portfolio allocation
Sign Up to like & getrecommendations! Published in 2017 at "European Journal of Political Research"
DOI: 10.1111/1475-6765.12212
Abstract: The assignment of ministerial portfolios to parties is one of the most contested and consequential processes in coalition politics. Accordingly, a great deal of scholarship has investigated how many portfolios different parties obtain in coalition… read more here.
Keywords: voters perceptions; portfolio; portfolio allocation; perceptions portfolio ... See more keywords
Power-Sharing, Presidential Style: Issue Salience and Portfolio Allocation in Multiparty Presidential Systems
Sign Up to like & getrecommendations! Published in 2022 at "Political Research Quarterly"
DOI: 10.1177/10659129221119205
Abstract: Minority presidents form coalitions to secure legislative support. However, such support comes at the policy cost of delegating power to coalition partners. Given this dilemma, how do presidents decide on portfolio allocation? The argument is… read more here.
Keywords: portfolio; power; policy; portfolio allocation ... See more keywords