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Financial Markets and Portfolio Management

, Volume 15, Issue 2, pp 201–211 | Cite as

Applying multivariate time series forecasts for active portfolio management

  • Momtchil Pojarliev
  • Wolfgang Polasek
Article

Keywords

Time Series Portfolio Management Multivariate Time Series Time Series Forecast Active Portfolio 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

  1. CAMPBELL, J. Y., A. W. LO and A. C. MACKINLAY (1997): The Econometrics of Financial Markets, Princeton: Princeton University Press.Google Scholar
  2. COCHRANE, J. H. (1999): “Portfolio Advice for a Multifactor World”, National Bureau of Economic Research, Working Paper 7170, http://www.nber.org/papers/w7170.
  3. ENGLE, R. F. and K. F. KRONER (1995): “Multivariate Simultaneous GARCH”, Econometric Theory 11, pp. 122–150.CrossRefGoogle Scholar
  4. GRINOLD, R. C. and R. N. KAHN (1995): “Active Portfolio Management”, McGraw-Hill.Google Scholar
  5. HARVEY, C. R. and G. ZHOU (1990): “Bayesian inference in asset pricing tests”, Journal of Financial Economics 26, pp. 221–256.CrossRefGoogle Scholar
  6. MARKOWITZ H. (1952): “Portfolio Selection”, Journal of Finance 7, pp. 77–91.Google Scholar
  7. MATHSOFT (1996): “S+GARCH User's Manual”, MathSoft, Seattle.Google Scholar
  8. POJARLIEV, M. and W. POLASEK (2000): “Value at Risk estimation for stock indices using the Basle Committee proposal from 1995”, University of Basel, WWZ-Discussion Paper 00/07.Google Scholar

Copyright information

© Swiss Society for Financial Market Research 2001

Authors and Affiliations

  • Momtchil Pojarliev
    • 1
  • Wolfgang Polasek
    • 2
  1. 1.INVESCO Asset ManagementFrankfurt
  2. 2.University of BaselBasel

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