This issue explores the practicality of the CVaR measure as a criterion for portfolio selection, and also discusses wavelet analysis for portfolio selection and currency option pricing.
In order to separate short-term noise from long-term trends, this paper decomposes financial return series into their time and frequency domains.
Recent trends in research may help firms obtain reliable correlations from limited data
Lundin and Satchell present a non-linear asymmetric dependence method between two assets
Kolm and Ritter present a multiperiod, multi-asset selection model with transacion costs, kept computationally tractrable
Construction of large portfolios consistent with investors' views and stress test scenarios is a challenging task, considering the volume of information to be processed. Attilio Meucci, David Ardia and Marcello Colasante introduce a technique that significantly...
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