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

Panos Xidonas; Mike Tsionas; Constantin Zopounidis

Journal articles

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 - Groupe ESSCA

2 Lancaster University

3 Audencia Business School

Panos Xidonas ¹ AuthorId : 1484884
Author

Mike Tsionas ² AuthorId : 523287

Author

Constantin Zopounidis ³ AuthorId : 1195464
Author

1 ESSCA - Groupe ESSCA (1 rue Joseph Lakanal 49003 ANGERS Cédex 01 - France) StructId : 73960

2 Lancaster University (Lancaster University, Bailrigg, Lancaster, LA1 4YW - United Kingdom) StructId : 450363

3 Audencia Business School (8 route de la Jonelière - 44312 Nantes Cedex 3 - France) StructId : 456031

Document type :

Journal articles

Domain :

Quantitative Finance [q-fin]

Complete list of metadatas

https://hal-audencia.archives-ouvertes.fr/hal-02880066
Contributor : Myriam Amami <>
Submitted on : Wednesday, June 24, 2020 - 3:38:23 PM
Last modification on : Thursday, June 25, 2020 - 3:04:39 AM

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

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

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