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On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH.

Panagiotis XidonasMike G. TsionasConstantin Zopounidis
Published in: Ann. Oper. Res. (2020)
Keyphrases
  • asset allocation
  • stock market
  • portfolio management
  • sample size
  • minimum variance
  • garch model
  • control charts
  • weighted moving average
  • exchange rate