References
- Ahmed, R., Hasan, M.S., Sultan, J. (2020), Meteor showers and global asset allocation, European Journal of Finance, Vol. 26, No. 17, pp. 1703–1724.
- Aït-Sahalia, Y., Xiu, D. (2016), Increased correlation among asset classes: are volatility or jumps to blame, or both? Journal of Econometrics, Vol. 194, No. 2, pp. 205–219.
- Alkhazali, O.M., Zoubi, T.A. (2020), Gold and portfolio diversification: a stochastic dominance analysis of the Dow Jones Islamic indices, Pacific-Basin Finance Journal, Vol. 60, pp. 101264.
- Ando, A., Modigliani, F. (1963), The life cycle hypothesis of saving: aggregate implications and tests, American Economic Review, Vol. 53, No. 1, pp. 55–84
- Ang, A. (2014), Asset management, Oxford University Press, New York.
- Apergis, N., Cooray, A., Khraief, N., Apergis, I. (2019), Do gold prices respond to real interest rates? evidence from the Bayesian Markov switching VECM model, Journal of International Financial Markets, Institutions and Money, Vol. 60, pp. 134–148.
- Bakry, W., Rashid, A., Al-Mohamad, S., El-Kanj, N. (2021), Bitcoin and portfolio diversification: a portfolio optimization approach, Journal of Risk and Financial Management, Vol. 14, No. 7, pp. 2–24.
- Ban, G-Y., El Karoui, N., Lim, A.E.B. (2018), Machine learning and portfolio optimization, Management Science, Vol. 64, No. 3, https://doi.org/10.1287/mnsc.2016.2644, pp. 1136–1154
- Bank of America Global Research. (2020), Thematic investing, OK Zoomer, Gen Z Primer, November
- Barber, B.M., Odean, T. (2000), Too many cooks spoil the profits: investment club performance, Financial Analysts Journal, Vol. 56, pp. 17–25.
- Baur, D.G., McDermott, T.K. (2016), Why is gold a safe haven? Journal of Behavioral and Experimental Finance, Vol. 10, pp. 63–71.
- Belhassine, O., Karamti, C. (2021), Volatility spillovers and hedging effectiveness between oil and stock markets: evidence from a wavelet-based and structural breaks analysis, Energy Economics, Vol. 102, p. 105513.
- Berger, A.N., Demirgüç-Kunt, A. (2021), Banking research in the time of COVID-19, Journal of Financial Stability, p. 100939.
- Betz, C.L. (2019), Generations X, Y, and Z, Journal of Pediatric Nursing, Vol. 44, pp. A7–A8.
- Blake, D., Wright, D., Zhang, Y. (2014), Age-dependent investing: optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners, Journal of Economic Dynamics and Control, Vol. 38, No. 1, pp. 105–124.
- Board, J.L., Sutcliffe, C.M. (1994), Estimation methods in portfolio selection and the effectiveness of short sales restrictions: UK evidence, Management science, Vol. 40, No. 4, pp. 516–534.
- Bouri, E., Molnár, P., Azzi, G., Roubaud, D., Hagfors, L.I. (2017), On the hedge and safe haven properties of bitcoin: is it really more than a diversifier? Finance Research Letters, Vol. 20, pp. 192–198.
- Brands, S., Gallagher, D.R., (2005), Portfolio selection, diversification and fund-of-funds: a note, Accounting & Finance, Vol. 45, No. 2, pp. 185–197, doi: 10.1111/j.1467-629x.2004.00130.x
- Bratis, T., Laopodis, N.T., Kouretas, G.P. (2020), Dynamics among global asset portfolios, European Journal of Finance, Vol. 26, No. 18, pp. 1876–1899.
- Browning, M., Lusardi, A. (1996), Household saving: micro theories and micro facts, Journal of Economic Literature, Vol. 34, No. 4, pp. 1797–1855.
- Chen, W., Zhang, H., Mehlawat, M.K., Jia, L. (2021), Mean–variance portfolio optimization using machine learning-based stock price prediction, Applied Soft Computing, Vol. 100, p. 106943, https://doi.org/10.1016/j.asoc.2020.106943.
- Choudhry, T., Jayasekera, R. (2014), Returns and volatility spillover in the European banking industry during global financial crisis: flight to perceived quality or contagion? International Review of Financial Analysis, Vol. 36, pp. 36–45.
- Ciner, C., Gurdgiev, C., Lucey, B.M. (2013), Hedges and safe havens: an examination of stocks, bonds, gold, oil and exchange rates, International Review of Financial Analysis, Vol. 29, pp. 202–211.
- Cochrane, J.H., (1991), Volatility tests and efficient markets: a review essay, Journal of Monetary Economics, Vol. 27, No. 3, pp. 463–485.
- Cohn, R.A., Lewellen, W.G., Lease, R.C., Schlarbaum, G.G. (1975), Individual investor risk aversion and investment portfolio composition, Journal of Finance, Vol. 30, No. 2, pp. 605–620
- Corbet, S., Dunne, J.J., Larkin, C. (2019), Quantitative easing announcements and high-frequency stock market volatility: evidence from the United States, Research in International Business and Finance, Vol. 48, pp. 321–334.
- Corbet, S., Meegan, A., Larkin, C., Lucey, B., Yarovaya, L. (2018), Exploring the dynamic relationships between cryptocurrencies and other financial assets, Economics Letters, Vol. 165, pp. 28–34.
- Damianov, D.S., Elsayed, A.H. (2020), Does bitcoin add value to global industry portfolios? Economics Letters, Vol. 191, pp. 108935.
- DaSilva, A., Farka, M., Giannikos, C. (2019), Age-dependent increasing risk aversion and the equity premium puzzle, Financial Review, Vol. 54, No. 2, pp. 377–412.
- DeMiguel, V., Garlappi, L., Uppal, R. (2009), Optimal versus naive diversification: how inefficient is the 1/N portfolio strategy? The Review of Financial Studies, Vol. 22, No. 5, pp. 1915–1953.
- Doeswijk, R., Lam, T., Swinkels, L. (2014), The global multi-asset market portfolio, 1959–2012, Financial Analysts Journal, Vol. 70, No. 2, pp. 26–41, DOI: 10.2469/faj.v70.n2.1
- Doumpos, M., Zopounidis, C., Gounopoulos, D., Platanakis, E., Zhang, W. (2023), Operational research and artificial intelligence methods in banking, European Journal of Operational Research, Vol. 306, No. 1, pp. 1–16, DOI: 10.1016/j.ejor.2022.04.027.
- Dyhrberg, A.H. (2016), Bitcoin, gold and the dollar – A GARCH volatility analysis, Finance Research Letters, Vol. 16, pp. 85–92.
- Eisl, A., Gasser, S.M., Weinmayer, K. (2015), Caveat emptor: does bitcoin improve portfolio diversification? Working Paper. Vienna University of Economics and Business.
- El Hedi Arouri, M., Jouini, J., Nguyen, D.K. (2011), Volatility spillovers between oil prices and stock sector returns: implications for portfolio management, Journal of International Money and Finance, Vol. 30, No. 7, pp. 1387–1405.
- Fisch, C., Masiak, C., Vismara, S., Block, J. (2021), Motives and profiles of ICO investors, Journal of Business Research, Vol. 125, No. (July 2019), pp. 564–576.
- Foley, S., Li, S., Malloch, H., Svec, J. (2022), What is the expected return on bitcoin? extracting the term structure of returns from option prices, Economic Letters, Vol. 210, p. 110196. DOI: 10.1016/j.econlet.2021.110196.
- Georgiadis, G. (2016), Determinants of global spillovers from US monetary policy, Journal of International Money and Finance, Vol. 67, pp. 41–61.
- Georgiadis, G., Gräb, J. (2016), Global financial market impact of the announcement of the ECB’s asset purchase programme, Journal of Financial Stability, Vol. 26, pp. 257–265.
- Gounopoulos, D., Platanakis, E., Tsoukalas, G., Wu, H. (2022), When bayes-stein meets machine learning: a generalized approach for portfolio optimization, Available from SSRN http://dx.doi.org/10.2139/ssrn.4229499 (20 November 2023)
- Green, R.C., Hollifield, B. (1992), When will mean-variance efficient portfolios be well diversified? Journal of Finance, Vol. 47, pp. 1785–1809.
- Guesmi, K., Saadi, S., Abid, I., Ftiti, Z. (2019), Portfolio diversification with virtual currency: evidence from bitcoin, International Review of Financial Analysis, Vol. 63, pp. 431–437.
- Harjoto, M.A., Rossi, F., Paglia, J.K. (2021), COVID-19: stock market reactions to the shock and the stimulus, Applied Economics Letters, Vol. 28, No. 10, pp. 795–801.
- Horneff, W.J., Maurer, R.H., Mitchell, O.S., Stamos, M.Z. (2009), Asset allocation and location over the life cycle with investment-linked survival-contingent payouts, Journal of Banking and Finance, Vol. 33, No. 9, pp. 1688–1699.
- Hsu, S-H., Sheu, C., Yoon, J. (2021), Risk spillovers between cryptocurrencies and traditional currencies and gold under different global economic conditions, The North American Journal of Economics and Finance, Vol. 57, p. 101443.
- Huang, X., Han, W., Newton, D., Platanakis, E., Stafylas, D., Sutcliffe, C. (2022), The diversification benefits of cryptocurrency asset categories and estimation risk: pre and post Covid-19, The European Journal of Finance, pp. 1–26.
- Huber, Ch., Huber, J., Kirchler, M. (2021), Market shocks and professionals’ investment behavior – evidence from the COVID-19 crash, Journal of Banking and Finance, Vol. 133, p. 106247.
- Iwanicz-Drozdowska, M., Rogowicz, K., Kurowski, Ł., Smaga, P. (2021), Two decades of contagion effect on stock markets: which events are more contagious? Journal of Financial Stability, Vol. 55, p. 100907.
- Kalayci, C.B., Ertenlice, O., Akbay, M.A. (2019), A comprehensive review of deterministic models and applications for mean-variance portfolio optimization, Expert Systems with Applications, Vol. 125, pp. 345–368.
- Kan, R., Zhou, G.F. (2007), Optimal portfolio choice with parameter uncertainty, Journal of Financial and Quantitative Analysis, Vol. 42, No. 3, pp. 621–656
- Kartsonakis-Mademlis, D., Dritsakis, N. (2021), Asymmetric volatility spillovers between world oil prices and stock markets of the G7 countries in the presence of structural breaks, International Journal of Finance and Economics, Vol. 26, pp. 3930–3944.
- Khalfaoui, R., Boutahar, M., Boubaker, H. (2015), Analyzing volatility spillovers and hedging between oil and stock markets: evidence from wavelet analysis, Energy Economics, Vol. 49, pp. 540–549.
- Khalfaoui, R., Sarwar, S., Tiwari, A.K. (2019), Analysing volatility spillover between the oil market and the stock market in oil-importing and oil-exporting countries: implications on portfolio management, Resources Policy, Vol. 62, pp. 22–32.
- Kolm, P.N., Tütüncü, R., Fabozzi, F.J. (2014), 60 Years of portfolio optimization: practical challenges and current trends, European Journal of Operational Research, Vol. 234, No. 2, pp. 356–371.
- Kritzman, M. (1999), Toward defining an asset class, Journal of Alternative Investments, Vol. 2, No. 1, p. 79
- Kuhn, D., Parpas, P., Rustem, B., Fonseca, R. (2009), Dynamic mean-variance portfolio analysis under model risk. Journal of Computational Finance, Vol. 12, pp. 91–115.
- Kurka, J. (2019), Do cryptocurrencies and traditional asset classes influence each other? Finance Research Letters, Vol. 31, No. (April), pp. 38–46.
- Kuvshinov, D., Zimmermann, K. (2022), The big bang: stock market capitalization in the long run, Journal of Financial Economics, Vol. 145, No. 2, pp. 527–552, DOI: 10.1016/j.jfineco.2021.09.008
- Lamont, O. (1998), Earnings and expected returns, Journal of Finance, Vol. 53, No. 5, pp. 1563–1587, DOI: 10.1111/0022-1082.00065
- Le, L.T.N., Yarovaya, L., Nasir, M.A. (2021), Did COVID-19 change spillover patterns between Fintech and other asset classes? Research in International Business and Finance, Vol. 58, No. (April), p. 101441.
- Ledoit, O., Wolf, M. (2003), Improved estimation of the covariance matrix of stock returns with an application to portfolio selection, Journal of Empirical Finance, Vol. 10, No. 5, pp. 603–621, DOI: 10.1016/S0927-5398(03)00007-0.
- Lettau, M., Ludvigson, S. (2002), Consumption, aggregate wealth, and expected stock returns, Journal of Finance, Vol. 56, No. 3, pp. 815–849, DOI: 10.1111/0022-1082.00347
- Ma, Y., Han, R., Wang, W. (2021), Portfolio optimization with return prediction using deep learning and machine learning, Expert Systems with Applications, Vol. 165, p. 113973, https://doi.org/10.1016/j.eswa.2020.113973.
- Markoulis, S., Katsikides, S. (2020), The effect of terrorism on stock markets: evidence from the 21st century, Terrorism and Political Violence, Vol. 32, No. 5, pp. 988–1010.
- Markowitz, H. (1952), Portfolio selection, Journal of Finance, Vol. 7, No. 1, pp. 77–91.
- Martin, I. (2017), What is the expected return on the market? Quarterly Journal of Economics, Vol. 132, No. 1. pp. 367–433. DOI: 10.1093/qje/qjw034
- Martín-Barragán, B., Ramos, S.B., Veiga, H. (2015), Correlations between oil and stock markets: a wavelet-based approach, Economic Modelling, Vol. 50, pp. 212–227.
- Mensi, W., Al-Yahyaee, K.H., Al-Jarrah, I.M.W., Vo, X.V., Kang, S.H. (2021a), Does volatility connectedness across major cryptocurrencies behave the same at different frequencies? a portfolio risk analysis, International Review of Economics and Finance, Vol. 76, pp. 96–113.
- Mensi, W., Shafiullah, M., Vo, X.V., Kang, S.H. (2021b), Volatility spillovers between strategic commodity futures and stock markets and portfolio implications: evidence from developed and emerging economies, Resources Policy, Vol. 71, p. 102002.
- Ming-Yuan, L.L. (2007), Volatility states and international diversification of international stock markets, Applied Economics, Vol. 39, No. 14, pp. 1867–1876.
- Modigliani, F., Brumberg, R. (1954), Utility analysis and the consumption function: an interpretation of cross-section data, in: K.K. Kurihara, (Ed), Post-Keynesian Economics, Rutgers University Press, New Brunswick, NJ, pp. 388–343
- Morin, R.A., Suarez, A.F. (1983), Risk aversion revisited, Journal of Finance, Vol. 38, No. 4, pp. 1201–1216.
- Nguyen, C., Bhatti, I., Komornikova, M., Komornik, J. (2016), Gold price and stock markets nexus under mixed-copulas, Economic Modelling, Vol. 58, pp. 283–292.
- Okorie, D.I., Lin, B. (2021), Stock markets and the COVID-19 fractal contagion effects, Finance Research Letters, Vol. 38, p. 101640.
- Pinelis, M., Ruppert, D. (2022), Machine learning portfolio allocation, The Journal of Finance and Data Science, Vol. 8, pp. 35–54, https://doi.org/10.1016/j.jfds.2021.12.001.
- Platanakis, E., Urquhart, A. (2020), Should investors include bitcoin in their portfolios? a portfolio theory approach, The British Accounting Review, Vol. 52, No. 4, p. 100837.
- Rasekhschaffe, K., C., Jones, R.C. (2019), Machine learning for stock selection, Financial Analysts Journal, Vol. 75, No. 3, pp. 70–88, DOI: 10.1080/0015198X.2019.1596678.
- Raza, N., Shahzad, S.J.H., Tiwari, A.K., Shahbaz, M. (2016), Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets, Resources Policy, Vol. 49, pp. 290–301.
- Riley, W.B., Chow, K.V. (1992), Asset allocation and individual risk aversion, Financial Analysts Journal, Vol. 48, No. 6, pp. 32–37.
- Selmi, R., Bouoiyour, J., Wohar, M.E. (2022), “Digital gold” and geopolitics, Research in International Business and Finance, Vol. 59, No. (August 2021), p. 101512.
- Shahzad, S.J.H., Bouri, E., Roubaud, D., Kristoufek, L., Lucey, B. (2019), Is bitcoin a better safe-haven investment than gold and commodities? International Review of Financial Analysis, Vol. 63, pp. 322–330.
- Sharpe, W.F. (1963), A simplified model for portfolio analysis, Management Science, Vol. 9, pp. 277–293.
- Sharpe, W.F. (1966), Mutual fund performance, Journal of Business, Vol. 39, No. 1, pp. 119–138.
- Stotz, A., Wei, L., (2014), Ten stocks are enough in Asia, SSRN Electronic Journal, DOI: 10.2139/ssrn.2461115
- Tachibana, M. (2022), Safe haven assets for international stock markets: a regime-switching factor copula approach, Research in International Business and Finance, Vol. 60, No. (April 2021), p. 101591.
- Tiwari, A.K., Cunado, J., Gupta, R., Wohar, M.E. (2018), Volatility spillovers across global asset classes: evidence from time and frequency domains, Quarterly Review of Economics and Finance, Vol. 70, pp. 194–202.
- Ugolini, A., Reboredo, J.C., Mensi, W. (2023), Connectedness between DeFi, cryptocurrency, stock, and safe-haven assets, Finance Research Letters, No. (November 2022),p. 103692.
- Wang, H., Hanna, S. (1997), Does risk tolerance decrease with age? Journal of Financial Counseling and Planning, Vol. 8, No. 2, pp. 27–32.
- Zhang, Y., Wang, M., Xiong, X., Zou, G. (2021), Volatility spillovers between stock, bond, oil, and gold with portfolio implications: evidence from China, Finance Research Letters, Vol. 40, p. 101786.
- Zhu Y., Y., Fan, J., Tucker, J. (2018), The impact of monetary policy on gold price dynamics, Research in International Business and Finance, Vol. 44, pp. 319–331.