Risk forecasting models and optimal portfolio selection

Applied Economics

Volumn 37, Issue 11, 2005, Pages 1267-1281

  Moreno, David ^a   Marco, Paulina ^b   Olmeda, Ignacio ^c  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

^b UNIVERSITY OF VALENCIA   (Spain)

^c UNIVERSITY OF ALCALÁ   (Spain)

Author keywords

[No Author keywords available]

Indexed keywords

FORECASTING METHOD; INVESTMENT;

EID: 22744454845     PISSN: 00036846     EISSN: None     Source Type: Journal    
DOI: 10.1080/00036840500109142     Document Type: Article

References (28)

1. Ang, J. S. and Chua, J. H. (1979) Composite measures for the evaluation of investment performance, Journal of Financial and Quantitative Analysis, 14, 361-84.
2. Bawa, V. S. (1975) Optimal rules for ordering uncertain prospects, Journal of Financial Economics, 2, 95-121.
3. Best, M. J. and Grauer, R. R. (1991) On the sensitivity of mean-variance-efficient portfolios to changes in asset means: some analytical and computational results, Review of Financial Studies, 4, 315-42,
4. Bollerslev, T. (1986) Generalized autoregfessive conditional heteroscedasticity, Journal of Econometrics, 31, 307-27.
5. Bollerslev, T., Chou, R. Y. and Kroner, K. F. (1992) ARCH modeling in finance: a review of the theory and empirical evidence, Journal of Econometrics, 52, 5-59.
6. Elton, E. J. and Gruber, M. J. (1973) Estimating the dependence structure of share prices-implications for portfolio selection, Journal of Finance, 28, 1203-32.
7. Engle, R. F. (1982) Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 50, 987-1008.
8. Eun, C. S. and Resnick, B. G. (1992) Forecasting the correlation structure of share prices: a test of new models, Journal of Banking and Finance, 16, 643-56.
9. Fishburn, P. C. (1977) Mean-risk analysis with risk associated with below-target returns, American Economic Review, 67, 116-26.
10. Jobson, J. D. and Korkie, B. (1980) Estimation for Markowitz efficient portfolios, Journal of American Statistical Association, 75, 544-54.
11. Jorion, P. (1986) Bayes-Stein estimation for portfolio analysis, Journal of Financial and Quantitative Analysis, 21, 279-92.
12. Kroll, Y., Levy, H. and Markowitz, H. M. (1984) Mean-variance versus direct utility maximization, Journal of Finance, 39, 47-61.
13. Ledoit, O. and Wolf, M. (2003) Improved estimation of the covariance matrix of stock returns with an application to portfolio selection, Journal of Empirical Finance, 10, 603-21.
14. Levy, H. and Markowitz, H. M. (1979) Approximating expected utility by a function of mean and variance, American Economic Review, 69, 308-17.
15. Mandelbrot, B. (1963) The variation of certain speculative prices, Journal of Business, 36, 394-419.
16. Markowitz, H. M. (1952) Portfolio selection, Journal of Finance, 7, 77-91.
17. Markowitz, H, M. (1991) Foundations of portfolio theory, Journal of Finance, 46, 469-77.
18. Merton, R. C. (1980) On estimating the expected return on the market: an exploratory investigation, Journal of Financial Economics, 8, 323-61.
19. Michaud, R. O. (1989) The Markowitz optimization enigma: is 'optimized' optimal?, Financial Analysts Journal, 45, 31-42.
20. Nawrocki, D. N. (1991) Optimal algorithms and lower partial moment: ex. post results, Applied Economics, 23, 465-70.
21. Nawrocki, D. N. (1992) The characteristics of portfolios selected by N-degree lower partial moment, International Review of Financial Analysis, 3, 195-209.
22. Nawrocki, D. N. (1999) A brief history of downside-risk measures, Journal of Investing, 8, 9-25.
23. Nelson, D. B. (1992) Filtering and forecasting with misspecified ARCH Models I: getting the right variance with the wrong model, Journal of Econometrics, 52, 61-90.
24. Pulley, L. (1981) A general mean-variance approximation to expected utility for short holding periods, Journal of Financial and Quantitative Analysis, 16, 361-73.
25. Pulley, L. (1985) Mean-variance versus direct utility maximization: a comment, Journal of Finance, 40, 601-2.
26. Roy, A. D. (1952) Safety first and the holding of assets, Econometrica, 20, 431-49.
27. Sharpe, W. (1966) Mutual fund performance, Journal of Business, 39, 119-38,
28. Taylor, M. P. (1995) The economics of exchange rates, Journal of Economic Literature, 33, 13-47.