On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH - Audencia
Journal Articles Annals of Operations Research Year : 2018

On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH

Panos Xidonas
  • Function : Author
Ecole Supérieure des Sciences Commerciales d'Angers
Mike Tsionas
  • Function : Author
  • PersonId : 878286
Lancaster University
Constantin Zopounidis
  • Function : Author
Audencia Business School

Domains

Quantitative Finance [q-fin]

Myriam AMAMI  : Connect in order to contact the contributor

https://audencia.hal.science/hal-02880066

Submitted on : Wednesday, June 24, 2020-3:38:23 PM

Last modification on : Friday, March 22, 2024-11:32:03 AM

No file

Dates and versions

hal-02880066 , version 1 (24-06-2020)

Identifiers

  • HAL Id : hal-02880066 , version 1

Cite

Panos Xidonas, Mike Tsionas, Constantin Zopounidis. On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH. Annals of Operations Research, 2018. ⟨hal-02880066⟩

Export

BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite

Collections

AUDENCIA UNAM
26 View
0 Download

Share

More