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Dynamic hedge fund portfolio construction: A semi-parametric approach
16 references·2 citing·29 second hop
Dynamic hedge fund portfolio construction: A semi-parametric approach (2012)Dynamic hedge fund portfolio construction…The t Copula and Related Copulas (2007)The t Copula and Related Copu…Statistical Analysis of Extreme Values (2007)Statistical Analysis of Extre…Risks and Portfolio Decisions Involving Hedge Funds (2003)Risks and Portfolio Decisions…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…A Universal Performance Measure (2002)A Universal Performance Measu…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)The Risk in Hedge Fund Strate…Portfolio optimization with conditional value-at-risk objective and constraints (2001)Portfolio optimization with c…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent Measures of Risk (1999)Coherent Measures of RiskModelling Extremal Events (1997)Modelling Extremal EventsEmpirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Empirical Characteristics of …Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets (2020)Dynamic Bivariate Peak Over T…Hedge fund return predictability; To combine forecasts or combine information? (2015)Hedge fund return predictabil…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Performance of Mutual Funds in the Period 1945-1964 (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Hedge Funds and the Technology Bubble (2004)The Econometrics of Financial Markets (1997)Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Econometrics of Financial Markets (2012)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Econometric Analysis of Cross Section and Panel Data (2001)Theory and Applications of Robust Optimization (2010)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)On the coherence of expected shortfall (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1997Modelling Extremal Events4,397 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds1,262 cited
  • 2003Risks and Portfolio Decisions Involving Hedge Funds1,213 cited
  • 2001The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers1,198 cited
  • 2007The t Copula and Related Copulas964 cited
  • 2001Portfolio optimization with conditional value-at-risk objective and constraints781 cited
  • 2002A Universal Performance Measure590 cited
  • 2007

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Statistical Analysis of Extreme Values
523 cited

Cited by

  • 2020Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets21 cited
  • 2015Hedge fund return predictability; To combine forecasts or combine information?19 cited