Articles with "portfolio construction" as a keyword



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In search of robust methods for multi-currency portfolio construction by value at risk

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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… read more here.

Keywords: value risk; multi currency; risk; currency portfolio ... See more keywords
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Portfolio construction using bootstrapping neural networks: evidence from global stock market

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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… read more here.

Keywords: bootstrapping neural; portfolio construction; global stock; stock ... See more keywords