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Published in 2018 at "Asia-Pacific Financial Markets"
DOI: 10.1007/s10690-018-9260-7
Abstract: The main purpose of this paper is to select the most appropriate technique predicting precisely the exchange rate risk from three main approaches, namely, the Historical Simulation approach, the Variance–Covariance approach and the Monte Carlo…
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Keywords:
value risk;
multi currency;
risk;
currency portfolio ... See more keywords
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0
Published in 2019 at "Review of Derivatives Research"
DOI: 10.1007/s11147-019-09163-y
Abstract: The study investigates the investment value of global stock markets by a portfolio construction method combined with bootstrapping neural network architecture. A residual sample will be generated from bootstrapping sample procedure and then incorporated into…
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Keywords:
bootstrapping neural;
portfolio construction;
global stock;
stock ... See more keywords