Search Results - "Platanakis, Emmanouil"

Should investors include Bitcoin in their portfolios? A portfolio theory approach by Platanakis, Emmanouil, Urquhart, Andrew

“…Many papers in recent years have examined the benefits of adding alternative assets to traditional portfolios containing stocks and bonds. Bitcoin has emerged…”
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Portfolio management with cryptocurrencies: The role of estimation risk by Platanakis, Emmanouil, Urquhart, Andrew

“…This paper contributes to the literature on cryptocurrencies, portfolio management and estimation risk by comparing the performance of naïve diversification,…”
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Optimal vs naïve diversification in cryptocurrencies by Platanakis, Emmanouil, Sutcliffe, Charles, Urquhart, Andrew

“…This paper contributes to the literature on cryptocurrencies by examining the performance of naïve (1/N) and optimal (Markowitz) diversification in a portfolio…”
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Horses for courses: Mean-variance for asset allocation and 1/N for stock selection by Platanakis, Emmanouil, Sutcliffe, Charles, Ye, Xiaoxia

“…•Large investors use a two stage process - asset allocation and then stock selection.•Mean-variance is superior to 1/N for asset allocation.•1/N is superior to…”
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Operational research and artificial intelligence methods in banking by Doumpos, Michalis, Zopounidis, Constantin, Gounopoulos, Dimitrios, Platanakis, Emmanouil, Zhang, Wenke

“…Banking is a popular topic for empirical and methodological research that applies operational research (OR) and artificial intelligence (AI) methods. This…”
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Socially responsible investment portfolios: Does the optimization process matter? by Oikonomou, Ioannis, Platanakis, Emmanouil, Sutcliffe, Charles

“…This study investigates the impact of the choice of optimization technique when constructing Socially Responsible Investment (SRI) portfolios. Corporate Social…”
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Asset-liability modelling and pension schemes: the application of robust optimization to USS by Platanakis, Emmanouil, Sutcliffe, Charles

“…This paper uses a novel numerical optimization technique - robust optimization - that is well suited to solving the asset-liability management (ALM) problem…”
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Identifying a destination’s optimal tourist market mix: Does a superior portfolio model exist? by Mariani, Marcello, Platanakis, Emmanouil, Stafylas, Dimitrios, Sutcliffe, Charles

“…Extant tourism research has used various portfolio model types to determine optimal tourist market mixes which simultaneously maximize total tourist…”
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Pension scheme redesign and wealth redistribution between the members and sponsor: The USS rule change in October 2011 by Platanakis, Emmanouil, Sutcliffe, Charles

“…The redesign of defined benefit pension schemes usually results in a substantial redistribution of wealth between age cohorts of members, pensioners, and the…”
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Harmful diversification: Evidence from alternative investments by Platanakis, Emmanouil, Sakkas, Athanasios, Sutcliffe, Charles

“…Alternative assets have become as important as equities and fixed income in the portfolios of major investors, and so their diversification properties are also…”
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Single-stage portfolio optimization with automated machine learning for M6 by Huang, Xinyu, Newton, David P., Platanakis, Emmanouil, Sutcliffe, Charles

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A False Discovery Rate approach to optimal volatility forecasting model selection by Hassanniakalager, Arman, Baker, Paul L., Platanakis, Emmanouil

“…Estimating financial market volatility is integral to the study of investment decisions and behaviour. Previous literature has, therefore, attempted to…”
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The diversification benefits of cryptocurrency factor portfolios: Are they there? by Han, Weihao, Newton, David, Platanakis, Emmanouil, Wu, Haoran, Xiao, Libo

“…We investigate the out-of-sample diversification benefits of cryptocurrencies from a generalised perspective, a cryptocurrency-factor level, with traditional…”
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Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach by Newton, David, Platanakis, Emmanouil, Stafylas, Dimitrios, Sutcliffe, Charles, Ye, Xiaoxia

“…For 5500 North American hedge funds following 11 different strategies, we analyse the stand-alone performance of these strategies using a stochastic discount…”
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The role of transaction costs and risk aversion when selecting between one and two regimes for portfolio models by Platanakis, Emmanouil, Sakkas, Athanasios, Sutcliffe, Charles

“…Estimation of the inputs is the main problem when applying portfolio analysis, and Markov regime-switching models have been shown to improve these estimates…”
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The diversification benefits of cryptocurrency asset categories and estimation risk: pre and post Covid-19 by Huang, Xinyu, Han, Weihao, Newton, David, Platanakis, Emmanouil, Stafylas, Dimitrios, Sutcliffe, Charles

“…We examine the diversification benefits of cryptocurrency asset categories. To mitigate the effects of estimation risk, we employ the Bayes-Stein model with no…”
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On the (almost) stochastic dominance of cryptocurrency factor portfolios and implications for cryptocurrency asset pricing by Han, Weihao, Newton, David, Platanakis, Emmanouil, Sutcliffe, Charles, Ye, Xiaoxia

“…Cryptocurrency returns are highly nonnormal, casting doubt on the standard performance metrics. We apply almost stochastic dominance, which does not require…”
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Essays on robust portfolio selection and pension finance by Platanakis, Emmanouil

“…This thesis examines three different, but related problems in the broad area of portfolio management for long-term institutional investors, and focuses mainly…”
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