Image de couverture de livre

Risk Analysis of Passive Portfolios

Fuente: arXiv

Enregistré dans:

Détails bibliographiques
Auteur principal:	Das, Sourish
Format:	Preprint
Publié:	2024
Sujets:	Statistical Finance
Accès en ligne:	Acceder al recurso
Tags:	Ajouter un tag Pas de tags, Soyez le premier à ajouter un tag!

Documents similaires

Sparse Portfolio selection via Bayesian Multiple testing
par: Das, Sourish, et autres
Publié: (2017)

Predicting Stock Market Crash with Bayesian Generalised Pareto Regression
par: Das, Sourish
Publié: (2025)

Kendall Correlation Coefficients for Portfolio Optimization
par: Espana, Tomas, et autres
Publié: (2024)

Portfolio Analysis in High Dimensions with TE and Weight Constraints
par: Caner, Mehmet, et autres
Publié: (2024)

Markowitz Variance May Vastly Undervalue or Overestimate Portfolio Variance and Risks
par: Olkhov, Victor
Publié: (2025)

(Non-Parametric) Bootstrap Robust Optimization for Portfolios and Trading Strategies
par: Oliveira, Daniel Cunha, et autres
Publié: (2025)

STRAPSim: A Portfolio Similarity Metric for ETF Alignment and Portfolio Trades
par: Li, Mingshu, et autres
Publié: (2025)

Deep Learning in Long-Short Stock Portfolio Allocation: An Empirical Study
par: Guo, Junjie
Publié: (2024)

Sentiment-Aware Mean-Variance Portfolio Optimization for Cryptocurrencies
par: Chen, Qizhao
Publié: (2025)

Sentiment Analysis of State Bank of Pakistan's Monetary Policy Documents and its Impact on Stock Market
par: Karim, Aabid, et autres
Publié: (2024)

Integration of Wavelet Transform Convolution and Channel Attention with LSTM for Stock Price Prediction based Portfolio Allocation
par: Guo, Junjie
Publié: (2025)

Portfolio diversification with varying investor abilities
par: James, Nick, et autres
Publié: (2023)

Bitcoin versus S&P 500 Index: Return and Risk Analysis
par: Nzokem, A. H.
Publié: (2023)

From Headlines to Holdings: Deep Learning for Smarter Portfolio Decisions
par: Lin, Yun, et autres
Publié: (2025)

Unwitting Markowitz' Simplification of Portfolio Random Returns
par: Olkhov, Victor
Publié: (2025)

Sparse Portfolio Selection via Topological Data Analysis based Clustering
par: Goel, Anubha, et autres
Publié: (2024)

Exploratory Mean-Variance Portfolio Optimization with Regime-Switching Market Dynamics
par: Chen, Yuling Max, et autres
Publié: (2025)

Market-Based Variance of Market Portfolio and of Entire Market
par: Olkhov, Victor
Publié: (2025)

A Spatio-Temporal Machine Learning Model for Mortgage Credit Risk: Default Probabilities and Loan Portfolios
par: Kündig, Pascal, et autres
Publié: (2024)

PolyModel for Hedge Funds' Portfolio Construction Using Machine Learning
par: Zhao, Siqiao, et autres
Publié: (2024)

Tuning into Climate Risks: Extracting Innovation from Television News for Clean Energy Firms
par: Ahmad, Wasim, et autres
Publié: (2024)

From fair price to fair volatility: Towards an Efficiency-Consistent Definition of Financial Risk
par: Bianchi, Sergio, et autres
Publié: (2025)

Liquidity Adjustment in Multivariate Volatility Modeling: Evidence from Portfolios of Cryptocurrencies and US Stocks
par: Deng, Qi
Publié: (2024)

AlphaAgents: Large Language Model based Multi-Agents for Equity Portfolio Constructions
par: Zhao, Tianjiao, et autres
Publié: (2025)

Stochastic Approaches to Asset Price Analysis
par: Sekatchev, Michael, et autres
Publié: (2024)

Non-stationary Financial Risk Factors and Macroeconomic Vulnerability for the UK
par: Varga, Katalin, et autres
Publié: (2024)

Maximally Machine-Learnable Portfolios
par: Coulombe, Philippe Goulet, et autres
Publié: (2023)

Vector-Quantized Discrete Latent Factors Meet Financial Priors: Dynamic Cross-Sectional Stock Ranking Prediction for Portfolio Construction
par: Kim, Namhyoung, et autres
Publié: (2026)

Analysis of market efficiency in main stock markets: using Karman-Filter as an approach
par: Liu, Beier, et autres
Publié: (2024)

Efficient Multi-Change Point Analysis to decode Economic Crisis Information from the S&P500 Mean Market Correlation
par: Heßler, Martin, et autres
Publié: (2023)

Financial Analysis: Intelligent Financial Data Analysis System Based on LLM-RAG
par: Wang, Jingru, et autres
Publié: (2025)

Low Volatility Stock Portfolio Through High Dimensional Bayesian Cointegration
par: Yang, Parley R, et autres
Publié: (2024)

Cyber Risk Taxonomies: Statistical Analysis of Cybersecurity Risk Classifications
par: Malavasi, Matteo, et autres
Publié: (2024)

Systemic Risk and Default Cascades in Global Equity Markets: A Network and Tail-Risk Approach Based on the Gai Kapadia Framework
par: Pereda, Ana Isabel Castillo
Publié: (2026)

Predicting Value at Risk for Cryptocurrencies With Generalized Random Forests
par: Buse, Rebekka, et autres
Publié: (2022)

Dynamically Consistent Analysis of Realized Covariations in Term Structure Models
par: Schroers, Dennis
Publié: (2024)

On the Convergence of Credit Risk in Current Consumer Automobile Loans
par: Lautier, Jackson P., et autres
Publié: (2022)

Dynamic Asset Pricing Theory for Life Contingent Risks
par: Ling, Patrick
Publié: (2025)

Consistent Estimation of the High-Dimensional Efficient Frontier
par: Bodnar, Taras, et autres
Publié: (2024)

Signal inference in financial stock return correlations through phase-ordering kinetics in the quenched regime
par: Achitouv, Ixandra, et autres
Publié: (2024)