Selecting volatility forecasting models for portfolio allocation purposes
نویسندگان
چکیده
منابع مشابه
Evaluating the Performance of Forecasting Models for Portfolio Allocation Purposes with Generalized GRACH Method
Portfolio theory assumes that investors accept risk. This means thatin the equal rate of return on the two assets, the assets were chosenthat have a lower risk level. Modern portfolio theory is accepted byinvestors who believe that they are not cope with the market. Sothey keep many different types of securities in order to access theoptimum efficiency rate that is close to the rate of return o...
متن کاملevaluating the performance of forecasting models for portfolio allocation purposes with generalized grach method
portfolio theory assumes that investors accept risk. this means thatin the equal rate of return on the two assets, the assets were chosenthat have a lower risk level. modern portfolio theory is accepted byinvestors who believe that they are not cope with the market. sothey keep many different types of securities in order to access theoptimum efficiency rate that is close to the rate of return o...
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Recent advances in the measurement of volatility have utilized high frequency intraday data to produce what are generally known as realised volatility estimates. It has been shown that forecasts generated from such estimates are of positive economic value in the context of portfolio allocation. This paper considers the link between the value of such forecasts and the loss function under which m...
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ژورنال
عنوان ژورنال: International Journal of Forecasting
سال: 2015
ISSN: 0169-2070
DOI: 10.1016/j.ijforecast.2013.11.007