Search Results - "Sahamkhadam, Maziar"

Dynamic copula-based expectile portfolios by Sahamkhadam, Maziar

“…This study investigates expectile Value-at-Risk (EVaR) as a risk measure in dynamic copula-based portfolio optimization, compared with the common variance and…”
Get full text

Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for global financial crises by Sahamkhadam, Maziar, Stephan, Andreas

“…Abstract We employ and examine vine copulas in modeling symmetric and asymmetric dependency structures and forecasting financial returns from 2001 to 2022, a…”
Get full text

Copula-based Black–Litterman portfolio optimization by Sahamkhadam, Maziar, Stephan, Andreas, Östermark, Ralf

“…•The Black-Litterman approach is extended to incorporate tail dependency.•The posterior joint distribution of returns is estimated using vine copulas.•The…”
Get full text

Is Corporate Social Responsibility investing a free lunch? The relationship between ESG, tail risk, and upside potential of stocks before and during the COVID-19 crisis by Lööf, Hans, Sahamkhadam, Maziar, Stephan, Andreas

“…Did Corporate Social Responsibility investing benefit shareholders during the COVID-19 pandemic crisis? Distinguishing between downside tail risk and upside…”
Get full text

Portfolio optimization based on GARCH-EVT-Copula forecasting models by Sahamkhadam, Maziar, Stephan, Andreas, Östermark, Ralf

“…This study uses GARCH-EVT-copula and ARMA-GARCH-EVT-copula models to perform out-of-sample forecasts and simulate one-day-ahead returns for ten stock indexes…”
Get full text

Enhancing the predictability of crude oil markets with hybrid wavelet approaches by Uddin, Gazi Salah, Gençay, Ramazan, Bekiros, Stelios, Sahamkhadam, Maziar

“…We explore the robustness, efficiency and accuracy of the multi-scale forecasting in crude oil markets. We adopt a novel hybrid wavelet auto-ARMA model to…”
Get full text

Investment opportunities in the energy market: What can be learnt from different energy sectors by Uddin, Gazi Salah, Sahamkhadam, Maziar, Yahya, Muhammad, Tang, Ou

“…Abstract We construct portfolio strategies consisting of different stocks from four main energy market sectors, including oil and gas, oil and gas related…”
Get full text

Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for the financial crisis by Sahamkhadam, Maziar, Stephan, Andreas

“…We employ and examine vine copulas in modeling symmetric and asymmetric dependency structures and forecasting financial returns. We analyze the asset…”
Get full text