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

Panos Xidonas; Mike Tsionas; Constantin Zopounidis

Journal Articles Annals of Operations Research Year : 2018

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

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Panos Xidonas

Function : Author

Ecole Supérieure des Sciences Commerciales d'Angers

Mike Tsionas

Function : Author
PersonId : 878286

Lancaster University

Constantin Zopounidis

Function : Author

Audencia Business School

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Quantitative Finance [q-fin]

Myriam AMAMI : Connect in order to contact the contributor

https://hal-audencia.archives-ouvertes.fr/hal-02880066

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-02880066 , version 1 (24-06-2020)

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HAL Id : hal-02880066 , version 1

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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, 2018. ⟨hal-02880066⟩

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

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