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Online Portfolio Optimization with Risk Control
Trends in Computational and Applied Mathematics, 2021 Portfolio selection is undoubtedly one of the most challenging topics in the area of finance. Since Markowitz's initial contribution in 1952, portfolio allocation strategies have been intensely discussed in the literature. With the development of online
João Daniel Madureira Yamim +2 more
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The intertemporal relationship between risk and return with dynamic conditional correlation and time -varying beta [PDF]
تحقیقات مالی, 2015 The current paper examines intertemporal capital asset pricing model in Iran’s Stock Market. Dynamic conditional correlation was used to estimate conditional variance and covariance portfolios with market returns. Time varying beta is estimated by Kalman
Hojjatollah Bagherzadeh +1 more
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Mathematics, 2021 This study aims to apply value at risk (VaR) and expected shortfall (ES) as time-varying systematic and idiosyncratic risk factors to address the downside risk anomaly of various asset pricing models currently existing in the Pakistan stock exchange. The
Adeel Nasir +4 more
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A Transmission of Beta Herding during Subprime Crisis in Taiwan’s Market: DCC-MIDAS Approach
International Journal of Financial Studies, 2021 The aim of this study is to investigate the herding of beta transmission between return and volatility. We have used the dynamic conditional correlation model with the mixed-data sampling (DCC-MIDAS) model for the analysis. The evidence demonstrates that
Yi-Chang Chen +3 more
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Time‐varying β‐model for dynamic directed networks
Scandinavian Journal of Statistics, 2023 AbstractWe extend the well‐known ‐model for directed graphs to dynamic network setting, where we observe snapshots of adjacency matrices at different time points. We propose a kernel‐smoothed likelihood approach for estimating time‐varying parameters in a network with nodes, from snapshots.
Yuqing Du +3 more
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Time-Varying Beta And The Subprime Financial Crisis: Evidence From U.S. Industrial Sectors
, 2014 Habib Hasnaoui, Ibrahim Fatnassi
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Testing for regime-switching CAPM on Zagreb Stock Exchange
Croatian Operational Research Review, 2014 The standard Capital Asset Pricing Model assumes that a linear relationship exists between the risk (beta) and the expected excess return of a stock. However, empirical findings have shown over the years that this relationship varies over time.
Tihana Škrinjarić
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Asset pricing in a multifactor setting
Borsa Istanbul Review, 2022 We mathematically show that, no matter how many factors are added to the capital asset pricing model (CAPM), beta will always matter. We also show that adding more factors to a single-factor CAPM requires market risk premiums to be modeled as time ...
Omer Cayirli +2 more
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International Journal of Financial Studies, 2017 In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time, conditional on financial and non-financial variables.
André Ricardo de Pinho Ronzani +2 more
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Journal of Business Economics and Management, 2013 Abrupt and profound swings in economic activity can result in changes in systematic component of risk premia of capital market assets. This can translate into adjustments in risk perception by the market agents, which may lead to significant changes in ...
Vít Pošta, Zdeněk Pikhart
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