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Volatility filters for dynamic portfolio optimization

https://doi.org/10.1080/17446540500102455
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/0470013265openalex-snapshot
Applied quantitative methods for trading and investment
inferredcites →https://doi.org/10.1016/0304-4076(86)90063-1openalex-snapshot
Generalized autoregressive conditional heteroskedasticity
inferredcites →https://doi.org/10.1016/s0927-5398(98)00003-6openalex-snapshot
Volatility and cross correlation across major stock markets
inferredcites →https://doi.org/10.1093/rfs/4.2.315openalex-snapshot
On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results
inferredcites →https://doi.org/10.1111/0022-1082.00340openalex-snapshot
Extreme Correlation of International Equity Markets
inferredcites →https://doi.org/10.1111/j.1540-6261.1995.tb04055.xopenalex-snapshot
Predictability of Stock Returns: Robustness and Economic Significance
inferredcites →https://doi.org/10.2307/1912559openalex-snapshot
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
inferredcites →https://doi.org/10.2469/dig.v30.n1.642openalex-snapshot
On the Performance of Hedge Funds
inferredcites →https://doi.org/10.2469/faj.v50.n6.32openalex-snapshot
Forecasting International Equity Correlations
inferredcites →https://doi.org/10.2469/faj.v52.n5.2021openalex-snapshot
International Market Correlation and Volatility
inferredcites →https://doi.org/10.2469/faj.v55.n3.2273openalex-snapshot
Optimal Portfolios in Good Times and Bad
inferredcites →https://doi.org/10.3905/joi.2004.434554openalex-snapshot
Asset Allocation in Stable and Unstable Times
inferredcites →https://doi.org/10.3905/jpmopenalex-snapshot
The Journal of Portfolio Management
inferredcites →https://doi.org/10.3905/jpm.1981.408816openalex-snapshot
Putting Markowitz theory to work

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.1397184openalex-extracted
Non-Stationary Stock Returns and Time to Revise the Optimal Portfolio
inferred← citeshttps://doi.org/10.1002/sam.10074openalex-snapshot
Sparse partial least squares regression for on‐line variable selection with multivariate data streams
inferred← citeshttps://doi.org/10.1002/sam.v3:3openalex-snapshot
inferred← citeshttps://doi.org/10.1057/palgrave.jam.2250064openalex-snapshot
Volatility filter for index tracking and long–short market-neutral strategies
inferred← citeshttps://doi.org/10.1080/09603100701477283openalex-snapshot
Performance measures: advantages of linear risk penalization
inferred← citeshttps://doi.org/10.1080/17446540500400578openalex-snapshot
Domestic portfolio choice amid political instability
inferred← citeshttps://doi.org/10.1080/17446540600706783openalex-snapshot
Volatility filters for FX portfolios trading: the impact of alternative volatility models
inferred← citeshttps://doi.org/10.1080/17446540601057905openalex-snapshot
Portfolio allocation with heavy-tailed returns
inferred← citeshttps://doi.org/10.1142/s0219024916500230openalex-snapshot
PROFITABILITY OF A SIMPLE PAIRS TRADING STRATEGY: RECENT EVIDENCES FROM A GLOBAL CONTEXT
inferred← citeshttps://doi.org/10.25560/9577openalex-snapshot
Projection Based Models for High Dimensional Data
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