Portfolio Optimization using the GO-GARCH model: Evidence from Ukrainian Stock Exchange
Saved in:
| Date: | 2016 |
|---|---|
| Main Authors: | Z. Matsuk, F. Deari, V. Lakshina |
| Format: | Article |
| Language: | English |
| Published: |
2016
|
| Series: | Economic annals-XXI |
| Online Access: | http://jnas.nbuv.gov.ua/article/UJRN-0000689697 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Journal Title: | Library portal of National Academy of Sciences of Ukraine | LibNAS |
Institution
Library portal of National Academy of Sciences of Ukraine | LibNASSimilar Items
About two-criteria optimization of the stock portfolio
by: F. H. Harashchenko, et al.
Published: (2017)
by: F. H. Harashchenko, et al.
Published: (2017)
Numerical optimization of the likelihood function based on Kalman filter in the GARCH models
by: M. Benmoumen
Published: (2022)
by: M. Benmoumen
Published: (2022)
Stock portfolio hedging based on the volatility management strategy with the dynamic parameter optimization
by: O. V. Piskun
Published: (2015)
by: O. V. Piskun
Published: (2015)
Optimal portfolios vis-а-vis corporate governance ratings: some UK evidence
by: S. M. Nor, et al.
Published: (2018)
by: S. M. Nor, et al.
Published: (2018)
Global Diversification of the Securities Portfolio Using the Exchange-traded Funds
by: Yu. Khokhlov
Published: (2014)
by: Yu. Khokhlov
Published: (2014)
On the computational estimation of high order GARCH model
by: A. Settar, et al.
Published: (2021)
by: A. Settar, et al.
Published: (2021)
Insider information in the stock market: speculative effect
by: Z. Matsuk
Published: (2015)
by: Z. Matsuk
Published: (2015)
On GARCH(p,q) convergence
by: Carkovs, J., et al.
Published: (2007)
by: Carkovs, J., et al.
Published: (2007)
Determination of the optimal order portfolio from the many of possible
by: M. V. Dykha, et al.
Published: (2021)
by: M. V. Dykha, et al.
Published: (2021)
Diagnosing the Competitiveness of Ukrainian Stock Exchanges
by: Ye. Yu. Hnatchenko, et al.
Published: (2023)
by: Ye. Yu. Hnatchenko, et al.
Published: (2023)
Про збіжність GARCH(p,q)
by: Carkovs, J., et al.
Published: (2018)
by: Carkovs, J., et al.
Published: (2018)
The Efficiency of Discrete Optimization Algorithm Portfolios
by: I. V. Serhiienko, et al.
Published: (2021)
by: I. V. Serhiienko, et al.
Published: (2021)
Modeling the Optimal Investment Portfolio for a Non-State Pension Fund
by: O. I. Reshetniak
Published: (2016)
by: O. I. Reshetniak
Published: (2016)
Barbell strategy with bond portfolios: theory review and empirical study with government bond portfolios of Vietnam Prosperity Joint Stock Commercial Bank in 2018
by: D. H. Linh, et al.
Published: (2018)
by: D. H. Linh, et al.
Published: (2018)
Research of Ukrainian Reading Science is Going on...
by: A. Chachko
Published: (2006)
by: A. Chachko
Published: (2006)
A new geometrical method for portfolio optimization
by: F. Butin
Published: (2021)
by: F. Butin
Published: (2021)
Research of the multistage stochastic portfolio optimization problems
by: O. A. Galkina
Published: (2016)
by: O. A. Galkina
Published: (2016)
Peculiarities and Dynamics of Stock Exchange Development in Ukraine
by: K. S. Kalynets
Published: (2008)
by: K. S. Kalynets
Published: (2008)
Stock Exchange Capitalization in Ukraine: Peculiarities and Problems
by: M. A. Kozoriz, et al.
Published: (2008)
by: M. A. Kozoriz, et al.
Published: (2008)
We together go on recconaissance
by: A. I. Melnikov
Published: (2014)
by: A. I. Melnikov
Published: (2014)
On Polyhedral Coherent Risk Measures and Portfolio Optimization Problems
by: V. S. Kyryliuk
Published: (2022)
by: V. S. Kyryliuk
Published: (2022)
The modern going is near the construction of structural model of image of region
by: I. Panteleichuk
Published: (2009)
by: I. Panteleichuk
Published: (2009)
Quasi-maximum likelihood estimation of the Component-GARCH model using the stochastic approximation algorithm with application to the S&P 500
by: A. Settar, et al.
Published: (2021)
by: A. Settar, et al.
Published: (2021)
Analysis of World Experience of Organization of Stock Exchange in the Context of Possibilities of its Use in Ukraine
by: K. S. Kalynets
Published: (2009)
by: K. S. Kalynets
Published: (2009)
Further examination of the 1/N portfolio rule: a comparison against Sharpe-optimal portfolios under varying constraints
by: S. M. Nor, et al.
Published: (2017)
by: S. M. Nor, et al.
Published: (2017)
Organization of Trade in Derivatives at Stock Exchanges of Ukraine and the World
by: V. V. Zeldis
Published: (2015)
by: V. V. Zeldis
Published: (2015)
Comparison of temperature dependences of electrical conductivity of composite rGO-SWNT film with rGO and SWNT films
by: N. V. Kurnosov, et al.
Published: (2020)
by: N. V. Kurnosov, et al.
Published: (2020)
Evidences of Multicomponent Structure of the Migratory Stock and Morphological Distinctions of Shads from the Genus Alosa (Clupeaformes, Alosiinae) of the Sea of Azov
by: S. V. Mezhzherin, et al.
Published: (2013)
by: S. V. Mezhzherin, et al.
Published: (2013)
Evidences of Multicomponent Structure of the Migratory Stock and Morphological Distinctions of Shads from the Genus Alosa (Clupeaformes, Alosiinae) of the Sea of Azov
by: Mezhzherin, S.V., et al.
Published: (2013)
by: Mezhzherin, S.V., et al.
Published: (2013)
Programmed cell death and apoptosis — where it came from and where it is going: From Elie Metchnikoff to the control of caspases
by: Maghsoudi, N., et al.
Published: (2012)
by: Maghsoudi, N., et al.
Published: (2012)
The effects of world crude oil price on the real effective exchange rate: empirical evidences from Vietnam
by: T. C. Anh, et al.
Published: (2019)
by: T. C. Anh, et al.
Published: (2019)
Causal Relationship between the Stock Market and Exchange Rate in Ukraine
by: I. I. Blahun
Published: (2019)
by: I. I. Blahun
Published: (2019)
Current state and prospects for development of stock exchange in globalization conditions
by: O. Nikoliuk, et al.
Published: (2019)
by: O. Nikoliuk, et al.
Published: (2019)
Algorithm for solving two-criteria problem of optimal portfolio of risky as-sets
by: F. G. Garashchenko, et al.
Published: (2018)
by: F. G. Garashchenko, et al.
Published: (2018)
Problem of Fuzzy portfolio optimization and its solution with application of forecasting methods
by: Zaychenko, Y., et al.
Published: (2016)
by: Zaychenko, Y., et al.
Published: (2016)
Problem of fuzzy portfolio optimization and its solution with application of forecasting methods
by: Y. Zaychenko, et al.
Published: (2016)
by: Y. Zaychenko, et al.
Published: (2016)
Scientific going near forming of 3D-Model of description of investment projects
by: R. M. Strielnikov
Published: (2017)
by: R. M. Strielnikov
Published: (2017)
The Influence of Stock Exchange Transactions on the Volume of Capital Investments in Real Sectors of the Ukrainian Economy
by: R. N. Strelnikov
Published: (2017)
by: R. N. Strelnikov
Published: (2017)
Conceptual Model of Pipeline Organization of the Project Portfolio Management
by: Ju. N. Teslja, et al.
Published: (2015)
by: Ju. N. Teslja, et al.
Published: (2015)
Cascade neo-fuzzy neural network in the forecasting problem at stock exchange
by: Ju. P. Zajchenko, et al.
Published: (2017)
by: Ju. P. Zajchenko, et al.
Published: (2017)
Similar Items
-
About two-criteria optimization of the stock portfolio
by: F. H. Harashchenko, et al.
Published: (2017) -
Numerical optimization of the likelihood function based on Kalman filter in the GARCH models
by: M. Benmoumen
Published: (2022) -
Stock portfolio hedging based on the volatility management strategy with the dynamic parameter optimization
by: O. V. Piskun
Published: (2015) -
Optimal portfolios vis-а-vis corporate governance ratings: some UK evidence
by: S. M. Nor, et al.
Published: (2018) -
Global Diversification of the Securities Portfolio Using the Exchange-traded Funds
by: Yu. Khokhlov
Published: (2014)