Dynamic prediction of portfolio riskiness in financial markets based on multi-factor quantitative models

被引：0
|
作者：
Zhang, Wei [1 ]
Dong, Hao [2 ]
机构：
[1] School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai,200093, China
[2] Sejong University, Department of Economics, Seoul,05006, Korea, Republic of
来源：
Applied Mathematics and Nonlinear Sciences | 2024年 / 9卷 / 01期
关键词：
All Open Access; Gold;
D O I：
10.2478/amns-2024-1825
中图分类号：
学科分类号：
摘要：
Financial markets
引用
收藏
相关论文
共 50 条
  • [1] Dynamic portfolio optimization under multi-factor model in stochastic markets
    Zhiping Chen
    Zhenxia Song
    [J]. OR Spectrum, 2012, 34 : 885 - 919
  • [2] Dynamic portfolio optimization under multi-factor model in stochastic markets
    Chen, Zhiping
    Song, Zhenxia
    [J]. OR SPECTRUM, 2012, 34 (04) : 885 - 919
  • [3] Alternative econometric implementations of multi-factor models of the US financial markets
    Guidolin, Massimo
    Ravazzolo, Francesco
    Tortora, Andrea Donato
    [J]. QUARTERLY REVIEW OF ECONOMICS AND FINANCE, 2013, 53 (02): : 87 - 111
  • [4] Long-Term Memory and Applying the Multi-Factor ARFIMA Models in Financial Markets
    Chikashi Tsuji
    [J]. Asia-Pacific Financial Markets, 2002, 9 (3-4) : 283 - 304
  • [5] Traffic Accident Prediction Methods Based on Multi-factor Models
    Zhao, HaoZhe
    Rao, Guozheng
    [J]. KNOWLEDGE SCIENCE, ENGINEERING AND MANAGEMENT, PT III, 2021, 12817 : 41 - 52
  • [6] Adaptive integration for multi-factor portfolio credit loss models
    Huang, Xinzheng
    Oosterlee, Cornelis W.
    [J]. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2009, 231 (02) : 506 - 516
  • [7] Quantifying credit portfolio losses under multi-factor models
    Colldeforns-Papiol, Gemma
    Ortiz-Gracia, Luis
    Oosterlee, Cornelis W.
    [J]. INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2019, 96 (11) : 2135 - 2156
  • [8] Multi-factor asset pricing models in emerging and developed markets
    Lalwani, Vaibhav
    Chakraborty, Madhumita
    [J]. MANAGERIAL FINANCE, 2020, 46 (03) : 360 - 380
  • [9] Fundamental Quantitative Investment Theory and Technical System Based On Multi-Factor Models
    Zhao, Li
    Naktnasukanjn, Nathee
    Mu, Lei
    Liu, Haichuan
    Pan, Heping
    [J]. 2022 IEEE 20TH INTERNATIONAL CONFERENCE ON INDUSTRIAL INFORMATICS (INDIN), 2022, : 521 - 526
  • [10] Deep Learning for Multi-factor Models in Regional and Global Stock Markets
    Abe, Masaya
    Nakagawa, Kei
    [J]. NEW FRONTIERS IN ARTIFICIAL INTELLIGENCE, JSAI-ISAI 2019, 2020, 12331 : 89 - 104
12345