Matches in SemOpenAlex for { <https://semopenalex.org/work/W3122097315> ?p ?o ?g. }
Showing items 1 to 84 of
84
with 100 items per page.
- W3122097315 endingPage "11" @default.
- W3122097315 startingPage "1" @default.
- W3122097315 abstract "Risk management in this paper is focused on multivariate risk-return decision making assuming time-varying estimation. Empirical research in risk management showed that the static mean-variance methodology in portfolio optimization is very restrictive with unrealistic assumptions. The objective of this paper is estimation of time-varying portfolio stocks weights by constraints on risk measure. Hence, risk measure dynamic estimation is used in risk controlling. By risk control manager makes free supplementary capital for new investments. Univariate modeling approach is not appropriate, even when portfolio returns are treated as one variable. Portfolio weights are time-varying, and therefore it is necessary to reestimate whole model over time. Using assumption of bivariate Student´s t-distribution, in multivariate GARCH(p,q) models, it becomes possible to forecast time-varying portfolio risk much more precisely. The complete procedure of analysis is established from Zagreb Stock Exchange using daily observations of Pliva and Podravka stocks." @default.
- W3122097315 created "2021-02-01" @default.
- W3122097315 creator A5024651740 @default.
- W3122097315 creator A5028789205 @default.
- W3122097315 creator A5067976142 @default.
- W3122097315 date "2008-01-01" @default.
- W3122097315 modified "2023-09-27" @default.
- W3122097315 title "Multivariate Risk-Return Decision Making Within Dynamic Estimation" @default.
- W3122097315 hasPublicationYear "2008" @default.
- W3122097315 type Work @default.
- W3122097315 sameAs 3122097315 @default.
- W3122097315 citedByCount "0" @default.
- W3122097315 crossrefType "posted-content" @default.
- W3122097315 hasAuthorship W3122097315A5024651740 @default.
- W3122097315 hasAuthorship W3122097315A5028789205 @default.
- W3122097315 hasAuthorship W3122097315A5067976142 @default.
- W3122097315 hasConcept C10138342 @default.
- W3122097315 hasConcept C105795698 @default.
- W3122097315 hasConcept C106159729 @default.
- W3122097315 hasConcept C149782125 @default.
- W3122097315 hasConcept C15952604 @default.
- W3122097315 hasConcept C161584116 @default.
- W3122097315 hasConcept C162118730 @default.
- W3122097315 hasConcept C162324750 @default.
- W3122097315 hasConcept C187736073 @default.
- W3122097315 hasConcept C199163554 @default.
- W3122097315 hasConcept C202655437 @default.
- W3122097315 hasConcept C2780821815 @default.
- W3122097315 hasConcept C2781472820 @default.
- W3122097315 hasConcept C32896092 @default.
- W3122097315 hasConcept C33923547 @default.
- W3122097315 hasConcept C64341305 @default.
- W3122097315 hasConcept C69257216 @default.
- W3122097315 hasConcept C74510933 @default.
- W3122097315 hasConcept C94128290 @default.
- W3122097315 hasConceptScore W3122097315C10138342 @default.
- W3122097315 hasConceptScore W3122097315C105795698 @default.
- W3122097315 hasConceptScore W3122097315C106159729 @default.
- W3122097315 hasConceptScore W3122097315C149782125 @default.
- W3122097315 hasConceptScore W3122097315C15952604 @default.
- W3122097315 hasConceptScore W3122097315C161584116 @default.
- W3122097315 hasConceptScore W3122097315C162118730 @default.
- W3122097315 hasConceptScore W3122097315C162324750 @default.
- W3122097315 hasConceptScore W3122097315C187736073 @default.
- W3122097315 hasConceptScore W3122097315C199163554 @default.
- W3122097315 hasConceptScore W3122097315C202655437 @default.
- W3122097315 hasConceptScore W3122097315C2780821815 @default.
- W3122097315 hasConceptScore W3122097315C2781472820 @default.
- W3122097315 hasConceptScore W3122097315C32896092 @default.
- W3122097315 hasConceptScore W3122097315C33923547 @default.
- W3122097315 hasConceptScore W3122097315C64341305 @default.
- W3122097315 hasConceptScore W3122097315C69257216 @default.
- W3122097315 hasConceptScore W3122097315C74510933 @default.
- W3122097315 hasConceptScore W3122097315C94128290 @default.
- W3122097315 hasLocation W31220973151 @default.
- W3122097315 hasOpenAccess W3122097315 @default.
- W3122097315 hasPrimaryLocation W31220973151 @default.
- W3122097315 hasRelatedWork W1483909500 @default.
- W3122097315 hasRelatedWork W1571969302 @default.
- W3122097315 hasRelatedWork W1581005610 @default.
- W3122097315 hasRelatedWork W1592935674 @default.
- W3122097315 hasRelatedWork W1601538157 @default.
- W3122097315 hasRelatedWork W1985719316 @default.
- W3122097315 hasRelatedWork W2035775414 @default.
- W3122097315 hasRelatedWork W2042441700 @default.
- W3122097315 hasRelatedWork W2079998518 @default.
- W3122097315 hasRelatedWork W2088087283 @default.
- W3122097315 hasRelatedWork W2197968513 @default.
- W3122097315 hasRelatedWork W2298468278 @default.
- W3122097315 hasRelatedWork W2432419829 @default.
- W3122097315 hasRelatedWork W2937997794 @default.
- W3122097315 hasRelatedWork W3023792808 @default.
- W3122097315 hasRelatedWork W3121297891 @default.
- W3122097315 hasRelatedWork W3121747288 @default.
- W3122097315 hasRelatedWork W3121926987 @default.
- W3122097315 hasRelatedWork W3146323277 @default.
- W3122097315 hasRelatedWork W3153454593 @default.
- W3122097315 hasVolume "7" @default.
- W3122097315 isParatext "false" @default.
- W3122097315 isRetracted "false" @default.
- W3122097315 magId "3122097315" @default.
- W3122097315 workType "article" @default.