Matches in SemOpenAlex for { <https://semopenalex.org/work/W2003202036> ?p ?o ?g. }
Showing items 1 to 92 of
92
with 100 items per page.
- W2003202036 endingPage "1552" @default.
- W2003202036 startingPage "1541" @default.
- W2003202036 abstract "This study analyses whether the inclusion of initial public offering (IPO) stocks as part of an optimal asset allocation strategy can reduce the systematic risk of an investment portfolio. The asset allocation framework takes account of nonnormality of returns from a universe of eight asset classes using 240 monthly returns between January 1992 and December 2011. AR-GJR-GARCH models resolve the tail dependence and heteroscedasticity in the return series. Generalized Pareto distributions help to fit the heavy-tailed return distributions, while copula functions help to calibrate the dependence structure between the asset returns. The optimization algorithm persistently includes IPO stocks as part of an optimal asset allocation strategy. Their portfolio inclusion reduces the conditional value-at-risk and improves the risk-return trade-off." @default.
- W2003202036 created "2016-06-24" @default.
- W2003202036 creator A5045784907 @default.
- W2003202036 date "2013-10-01" @default.
- W2003202036 modified "2023-09-25" @default.
- W2003202036 title "Initial public offerings: an asset allocation decision based on nonnormal returns" @default.
- W2003202036 cites W1979575715 @default.
- W2003202036 cites W2004184840 @default.
- W2003202036 cites W2019291268 @default.
- W2003202036 cites W2091637085 @default.
- W2003202036 cites W2093230975 @default.
- W2003202036 cites W2098996963 @default.
- W2003202036 cites W2115167433 @default.
- W2003202036 cites W2135177937 @default.
- W2003202036 cites W2144570112 @default.
- W2003202036 cites W2160448197 @default.
- W2003202036 cites W3121493741 @default.
- W2003202036 cites W3121872951 @default.
- W2003202036 cites W3121893907 @default.
- W2003202036 cites W3122367063 @default.
- W2003202036 cites W3122446682 @default.
- W2003202036 cites W3122829783 @default.
- W2003202036 cites W3122873328 @default.
- W2003202036 cites W3123300179 @default.
- W2003202036 cites W3123403425 @default.
- W2003202036 cites W3125310193 @default.
- W2003202036 cites W3126005367 @default.
- W2003202036 cites W4211251720 @default.
- W2003202036 cites W4236670843 @default.
- W2003202036 cites W4256499879 @default.
- W2003202036 cites W4297964220 @default.
- W2003202036 cites W2127923747 @default.
- W2003202036 doi "https://doi.org/10.1080/09603107.2013.839857" @default.
- W2003202036 hasPublicationYear "2013" @default.
- W2003202036 type Work @default.
- W2003202036 sameAs 2003202036 @default.
- W2003202036 citedByCount "0" @default.
- W2003202036 crossrefType "journal-article" @default.
- W2003202036 hasAuthorship W2003202036A5045784907 @default.
- W2003202036 hasConcept C101104100 @default.
- W2003202036 hasConcept C10138342 @default.
- W2003202036 hasConcept C106159729 @default.
- W2003202036 hasConcept C12559387 @default.
- W2003202036 hasConcept C139819358 @default.
- W2003202036 hasConcept C149782125 @default.
- W2003202036 hasConcept C162118730 @default.
- W2003202036 hasConcept C162324750 @default.
- W2003202036 hasConcept C181236170 @default.
- W2003202036 hasConcept C202655437 @default.
- W2003202036 hasConcept C2780821815 @default.
- W2003202036 hasConceptScore W2003202036C101104100 @default.
- W2003202036 hasConceptScore W2003202036C10138342 @default.
- W2003202036 hasConceptScore W2003202036C106159729 @default.
- W2003202036 hasConceptScore W2003202036C12559387 @default.
- W2003202036 hasConceptScore W2003202036C139819358 @default.
- W2003202036 hasConceptScore W2003202036C149782125 @default.
- W2003202036 hasConceptScore W2003202036C162118730 @default.
- W2003202036 hasConceptScore W2003202036C162324750 @default.
- W2003202036 hasConceptScore W2003202036C181236170 @default.
- W2003202036 hasConceptScore W2003202036C202655437 @default.
- W2003202036 hasConceptScore W2003202036C2780821815 @default.
- W2003202036 hasIssue "19" @default.
- W2003202036 hasLocation W20032020361 @default.
- W2003202036 hasOpenAccess W2003202036 @default.
- W2003202036 hasPrimaryLocation W20032020361 @default.
- W2003202036 hasRelatedWork W1512016678 @default.
- W2003202036 hasRelatedWork W1538613057 @default.
- W2003202036 hasRelatedWork W1554688858 @default.
- W2003202036 hasRelatedWork W1824261413 @default.
- W2003202036 hasRelatedWork W1916923309 @default.
- W2003202036 hasRelatedWork W2021824814 @default.
- W2003202036 hasRelatedWork W2037980479 @default.
- W2003202036 hasRelatedWork W2085937448 @default.
- W2003202036 hasRelatedWork W2094728522 @default.
- W2003202036 hasRelatedWork W2101631632 @default.
- W2003202036 hasRelatedWork W2119823919 @default.
- W2003202036 hasRelatedWork W2155611158 @default.
- W2003202036 hasRelatedWork W2168933060 @default.
- W2003202036 hasRelatedWork W2357815217 @default.
- W2003202036 hasRelatedWork W2741884334 @default.
- W2003202036 hasRelatedWork W2788911476 @default.
- W2003202036 hasRelatedWork W3121580365 @default.
- W2003202036 hasRelatedWork W3125976900 @default.
- W2003202036 hasRelatedWork W98984190 @default.
- W2003202036 hasRelatedWork W2183765583 @default.
- W2003202036 hasVolume "23" @default.
- W2003202036 isParatext "false" @default.
- W2003202036 isRetracted "false" @default.
- W2003202036 magId "2003202036" @default.
- W2003202036 workType "article" @default.