Developments in forecast combination and portfolio choice
著者
書誌事項
Developments in forecast combination and portfolio choice
（Series in financial economics and quantitative analysis）
Wiley, c2001
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注記
Selected proceedings from a conference held in London in June 2000
Includes bibliographical references and index
内容説明・目次
内容説明
Developments in Forecast Combination and Portfolio Choice focuses on the following three themes: model and forecast combinations; structural change and long memory, controlling downside risk and investment strategies. Written by leading international researchers and practitioners, his book deals efficiently with three key questions facing portfolio managers. How to achieve greater forecasting accuracy; how to deal with structural change in asset allocation models and how to control downside risk, i.e. the risk of loss, in portfolio management.
目次
Contributors.
About the Contributors.
Series Preface.
Preface
THEME I MODEL AND FORECAST COMBINATIONS
What Exactly Should We Be Optimising? Criterion Risk in Multicomponent and Multimodel Forecasting (A. Neil Burgess).
A Meta-parameter Approach to the Construction of Forecasting Models for Trading Systems (Neville Towers and A. Neil Burgess).
The Use of Market Data and Model Combination to Improve Forecast Accuracy (Christian L. Dunis, Jason Laws and Ste phane Chauvin).
21 Nonlinear Ways to Beat the Market (George T. Albanis and Roy A. Batchelor).
Predcting High Performance Stocks Using Dimensionality Reduction Techniques Based on Neural Networks (George T. Albanis and Roy A. Batchelor).
THEME II STRUCTURAL CHANGE AND LONG MEMEORY
Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates (Michel Beine and Se bastien Laurent).
Long-run Volatility Dependencies in Intraday Data and Mixture of Normal Distributions (Aure lie Boubel and Se bastien Laurent).
Comparison of Parameter Esitmation Methods in Cyclical Long Memory Time Series (Laurent Ferrara and Dominique Guegan).
THEME III CONTROLLING DOWNSIDE RISK AND INVESTMENT STRATEGIES
Building a Mean Downside Risk Portfolio Frontier (Gustavo M. de Athayde).
Implementing Discrete-Time Dynamic Investment Strategies with Downside Risk: A Comparison of Returns and Investment Policies (Mattias Persson).
Portfolio Optimisation in a Downside Risk Framework (Riccardo Bramante and Barbara Cazzaniga).
The Three-moment CAPM: Theoretical Foundations and an Asset Pricing Model Comparison in a Unified Framework (Emmanuel Jurczwnko and Bertrand Maillet).
Stress-testing Correlations: An Application to Portfolio Risk Management (Frederick Bourgoin.)
Index.
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