Have a personal or library account? Click to login
Sampling methods for investment portfolio formulation procedure at increased market volatility Cover

Sampling methods for investment portfolio formulation procedure at increased market volatility

By: Mateusz Dzicher  
Open Access
|May 2021

References

  1. Alexander, C. (2008). Market risk analysis, quantitative methods in finance. New York: Wiley & Sons.
  2. Aliber, R. (2011). Financial turbulence and international investment. In Portfolio and risk management for central banks and sovereign wealth funds (BIS Papers, No. 58, pp. 5-17). Basel: BIS, ECB, World Bank.
  3. Ang, A., & Bekaert, G. (2002, July). International asset allocation with regime shifts. Review of Financial Studies, 15(4), 1137-1187. https://doi.org/10.1093/rfs/15.4.113710.1093/rfs/15.4.1137
  4. Ang, A., & Bekaert, G. (2004). How regimes affect asset allocation. Financial Analyst Journal, 60(2), 86-99. https://doi.org/10.2469/faj.v60.n2.261210.2469/faj.v60.n2.2612
  5. Baur, D., & Lucey, B. M. (2006). Flight-to-quality or contagion? An empirical analysis of stock-bond correlations (IIIS Discussion Paper, No. 122). Retrieved from https://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.148.8440&rep=rep1&type=pdf
  6. Beber, A., Brandt, M., & Kavajecz, K. (2007). Flight-to-quality or flight-to-liquidity? Evidence from the euro-area bond market (NBER Working Papers, No. 12376). Cambridge, MA: NBER. https://doi.org/10.3386/w1237610.3386/w12376
  7. Bekaert, G., Campbell, H., & Ng, A. (2005, January). Market integration and contagion. Journal of Business, 78(1), 39-69. https://doi.org/10.1086/42651910.1086/426519
  8. Berben, R.-P., & Jansen, J. (2005, September). Co-movement in international equity markets: a sectoral view. Journal of International Money and Finance, 24(5), 832-857. https://doi.org/10.1016/j.jimonfin.2005.04.00110.1016/j.jimonfin.2005.04.001
  9. Bodie, Z., Kane, A., & Marcus, A. (2009). Investments (8th ed.). New York: McGraw-Hill Irwin.
  10. Elton, E., Gruber, M., Brown, S., & Goetzmann, W. (2014). Modern portfolio theory and investment analysis (9th ed.). New York: John Wiley & Sons.
  11. Goetzmann, W., & Kumar, A. (2001). Equity portfolio diversification (Working Papers, No. 8686). Cambridge, MA: NBER. https://doi.org/10.3386/w868610.3386/w8686
  12. Hartmann, P., Straetmans, S., & de Vries, C. (2004, February). Asset market linkages in crisis periods. Review of Economics and Statistics, 86(1), 313-326. https://doi.org/10.1162/00346530432302383110.1162/003465304323023831
  13. Kole, E., Koedijk, K., & Verbeek, M. (2006, August). Portfolio implications of systemic crises. Journal of Banking & Finance, 30(8), 2347-2369. https://doi.org/10.1016/j.jbankfin.2005.08.00610.1016/j.jbankfin.2005.08.006
  14. Litzenberger, R., & Modest, D. (2008, July). Crisis and non-crisis risk in financial markets: An unified approach to risk management. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.116027310.2139/ssrn.1160273
  15. Loretan, M., & English, W. (2000). Evaluating “correlation breakdowns” during periods of market volatility (International Finance Discussion Paper, No. 658). Washington, DC: Board of Governors of the Federal Reserve. https://doi.org/10.2139/ssrn.23185710.2139/ssrn.231857
  16. Lundblad, C. (2007, July). The risk return trade-off in the long run: 1836–2003. Journal of Financial Economics, 85(1), 123-150. https://doi.org/10.1016/j.jfineco.2006.06.00310.1016/j.jfineco.2006.06.003
  17. Markowitz, H. (1952). Portfolio selection. Journal of Finance, 7(1), 77-91. https://doi.org/10.1111/j.1540-6261.1952.tb01525.x10.1111/j.1540-6261.1952.tb01525.x
  18. Markowitz, H. (1959). Portfolio selection: Efficient diversification of investments. New York: Wiley & Sons (reprinted by Yale University Press, 1970).
  19. Michaud, R. (1998). Efficient asset management: A practical guide to stock portfolio optimization and asset allocation. Boston: Harvard Business School Press.
  20. Orwat-Acedańska, A., & Acedański, J. (2013). Zastosowanie programowania stochastycznego w konstrukcji odpornych portfeli inwestycyjnych [An application of the stochastic programming to build robust investment portfolios]. Studia Ekonomiczne, 135, 121-136.
  21. Scherer, B. (2002, January). Portfolio resampling: review and critique. Financial Analyst Journal, 58(6), 98-109. https://doi.org/10.2469/faj.v58.n6.248910.2469/faj.v58.n6.2489
  22. Warsaw Stock Exchange statistical data on WIG20 traded blue-chip securities (CCC, CDR, CPS, JSW, KGH, MBK, PEO, PGN, PKN, PZU). (2020). Retrieved from https://stooq.pl
DOI: https://doi.org/10.22367/jem.2021.43.04 | Journal eISSN: 2719-9975 | Journal ISSN: 1732-1948
Language: English
Page range: 70 - 89
Submitted on: Sep 2, 2020
|
Accepted on: Feb 18, 2021
|
Published on: May 20, 2021
In partnership with: Paradigm Publishing Services
Publication frequency: 1 issue per year

© 2021 Mateusz Dzicher, published by University of Economics in Katowice
This work is licensed under the Creative Commons Attribution-NonCommercial 4.0 License.