Results 91 to 100 of about 284 (173)

Smart betas, return models and the tangency portfolio weights. [PDF]

PLoS One
Lennartsson J, Ekman C.
europepmc   +1 more source

Factor-based deep reinforcement learning for asset allocation: Comparative analysis of static and dynamic beta reward designs. [PDF]

PLoS One
Jung NH, Oh T.
europepmc   +1 more source

Dynamic interdependence between consumer confidence and housing prices: Evidence from bootstrap rolling window causality tests. [PDF]

PLoS One
Guan Y, Su C, Wang Y.
europepmc   +1 more source

Exploring time and frequency linkages of green bond with renewable energy and crypto market. [PDF]

Ann Oper Res, 2022
Yadav MP, Tandon P, Singh AB, Shore A, Gaur P.   +4 more
europepmc   +1 more source

Conditional CAPM in financial risk management: a quantile autoregression approach

, 2014
Paper presented at Strathmore International Math Research Conference on July 23 - 27, 2012 The study aims to provide a comprehensive description of dependence pattern of a stock by studying a range of betas derived as quantiles of conditional return distribution using quantile regression based on moving window regression.We investigate predictability ...
Kube, Ananda, Leo, Odongo, Mwita , Peter
openaire   +1 more source

Sensitivity to changes in oil prices, tax returns and the cross-section of stock returns: The present situation for net-oil exporting economies. [PDF]

Heliyon
Lou Q, Iqbal N, Alraey Y.
europepmc   +1 more source

Modelling time-varying volatility using GARCH models: evidence from the Indian stock market. [PDF]

F1000Res, 2022
Ali F, Suri P, Kaur T, Bisht D.
europepmc   +1 more source

Is CSR linked to idiosyncratic risk? Evidence from the copula approach. [PDF]

Ann Oper Res, 2022
Mefteh-Wali S, Rais H, Schier G.
europepmc   +1 more source

Portfolio Optimization with a Mean-Entropy-Mutual Information Model. [PDF]

Entropy (Basel), 2022
Novais RG, Wanke P, Antunes J, Tan Y.
europepmc   +1 more source