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Applied Economics Volume 37, 2005 - Issue 11
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Original Articles

Risk forecasting models and optimal portfolio selection

David Moreno * Universidad Carlos III, Dpto. Economía de Empresa, (Madrid) Spain
,
Paulina Marco Universidad de Valencia, Dpto. de Finanzas Empresariales, (Valencia) Spain
&
Ignacio Olmeda Universidad de Alcalá, Dpto. de Ciencias de la Computación, (Madrid) Spain
Pages 1267-1281 | Published online: 02 Feb 2007

Citations (16)

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Read on this site (3)

Jacob A. Bikker, Laura Spierdijk & Pieter-Jelle van der Sluis. (2010) What factors increase the risk of incurring high market impact costs?. Applied Economics 42:3, pages 369-387.
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Hung-Hsi Huang & David G. Jou. (2009) Multiperiod dynamic investment for a generalized situation. Applied Financial Economics 19:21, pages 1761-1766.
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Dar-Hsin Chen, Chun-Da Chen & Jianguo Chen. (2009) Downside risk measures and equity returns in the NYSE. Applied Economics 41:8, pages 1055-1070.
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Articles from other publishers (13)

Lars Tegtmeier. (2022) Modeling the volatilities of globally listed private equity markets. Studies in Economics and Finance 40:1, pages 64-85.
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Mohammad Reza Tavakoli Baghdadabad. (2015) Maximum Drawdown and Risk Tolerances. Review of Pacific Basin Financial Markets and Policies 18:01, pages 1550003.
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Mohammad Reza Tavakoli Baghdadabad. (2014) Average drawdown risk reduction and risk tolerances. Research in Economics 68:3, pages 264-276.
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Leyuan You & Robert T. Daigler. (2012) A M arkowitz Optimization of Commodity Futures Portfolios . Journal of Futures Markets 33:4, pages 343-368.
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Mohammad Reza Tavakoli Baghdadabad. (2013) The effects of drawdown risk reduction on the US hedge funds. Journal of Derivatives & Hedge Funds 19:1, pages 50-73.
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Brianna Cain & Ralf Zurbruegg. (2010) Can switching between risk measures lead to better portfolio optimization?. Journal of Asset Management 10:6, pages 358-369.
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Kai-Hong Tee. (2009) The effect of downside risk reduction on UK equity portfolios included with Managed Futures Funds. International Review of Financial Analysis 18:5, pages 303-310.
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José C. Zavala-Diaz, Dalia V. Garcia-Villagomez, Jorge A. Ruiz-Vanoye & Ocotlán Diaz-Parra. (2009) Selection of an Investment Portfolio by Means of a Mathematical Model of Optimization Applied to Mexican Stock-Market in Period of Debacle. Selection of an Investment Portfolio by Means of a Mathematical Model of Optimization Applied to Mexican Stock-Market in Period of Debacle.
Zibin Zhang, Luanne Lohr, Cesar L. Escalante & Michael E. Wetzstein. (2008) Mitigating Volatile U.S. Gasoline Prices and Internalizing External Costs: A Win‐Win Fuel Portfolio. American Journal of Agricultural Economics 90:5, pages 1218-1225.
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Erkki K. Laitinen. (2008) A portfolio approach to develop a theory of future management accounting systems. EuroMed Journal of Business 3:1, pages 23-37.
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Pierre Oberson de Souza, Tiago P. Filomena, Jooo Caldeira, Denis Borenstein & Marcelo Brutti Righi. (2017) Risk Parity in the Brazilian Market. SSRN Electronic Journal.
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David Moreno & Rosa Rodríguez. (2011) Diversificating the Undiversified Mutual Fund World. SSRN Electronic Journal.
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Ons Bouslama & Olfa Ben Ouda. (2011) International Portfolio Diversification Benefits in Periods of Crises. SSRN Electronic Journal.
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