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Aekkachai Nittayagasetwat,Jiroj Buranasiri
Pág. 562 - 567
This research paper investigates the benefit of risk diversification under the increase in the integration of AEC countries? capital markets during 1999 and 2016. The evidences from the correlation and mean-variance analysis confirm the higher stock mark...
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Grigoris Giannarakis,Alexandros Garefalakis,Christos Lemonakis,Nikolaos Sariannidis
Pág. 556 - 561
The scope of this study is to address the impact of stock index returns on exchange rate. In particular, it aims to fill the literature gap regarding the determinant role of socially responsible companies on the exchange rate Trade Weighted U.S. Dollar I...
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Rong Xu,Xingye Li
Pág. 104 - 110
What investors often wish to insure is that the maximum possible loss of their portfolios falling below a certain value. Namely, the maximum possible loss that a portfolio will lose under normal market fluctuations, with a given confidence level, over a ...
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Daniel Broby,Raphael Faessler,Milenko Josavac,Christophe Dehut
Pág. 1270 - 1286
We investigate the diversification benefits of adding Switzerland to a Eurozone equity portfolio, both before and after the removal of Swiss franc peg to the euro. We use a mean-variance portfolio framework to compare the benchmark indices in the Eurozon...
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Marcelo C. Medeiros,Artur M. Passos,Gabriel F. R. Vasconcelos
Pág. 257 - 284
In this paper we exploit the parametric portfolio optimization in the Brazilian market. Our data consists of monthly returns of 306 Brazilian stocks in the period between 2001 and 2013. We tested the model both in and out of sample and compared the resul...
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