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

Panos Xidonas 1 Mike Tsionas 2 Constantin Zopounidis 3
1 ESSCA - Ecole Supérieure des Sciences Commerciales d'Angers
2 Lancaster University
3 Audencia Business School
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https://hal-audencia.archives-ouvertes.fr/hal-02880066
Contributor : Myriam Amami Connect in order to contact the contributor
Submitted on : Wednesday, June 24, 2020 - 3:38:23 PM
Last modification on : Friday, February 11, 2022 - 6:32:03 PM

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  • HAL Id : hal-02880066, version 1

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AUDENCIA | UNAM

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Panos Xidonas, Mike Tsionas, Constantin Zopounidis. On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH. Annals of Operations Research, Springer Verlag, 2018. ⟨hal-02880066⟩

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