Applying multivariate time series forecasts for active portfolio management
- 154 Downloads
KeywordsTime 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.
Unable to display preview. Download preview PDF.
- CAMPBELL, J. Y., A. W. LO and A. C. MACKINLAY (1997): The Econometrics of Financial Markets, Princeton: Princeton University Press.Google Scholar
- COCHRANE, J. H. (1999): “Portfolio Advice for a Multifactor World”, National Bureau of Economic Research, Working Paper 7170, http://www.nber.org/papers/w7170.
- GRINOLD, R. C. and R. N. KAHN (1995): “Active Portfolio Management”, McGraw-Hill.Google Scholar
- MARKOWITZ H. (1952): “Portfolio Selection”, Journal of Finance 7, pp. 77–91.Google Scholar
- MATHSOFT (1996): “S+GARCH User's Manual”, MathSoft, Seattle.Google Scholar
- 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
© Swiss Society for Financial Market Research 2001