Safety-first and extreme value bilateral U.S.–Mexican portfolio optimization around the peso crisis and NAFTA in 1994

2007 ◽  
Vol 47 (3) ◽  
pp. 449-469 ◽  
Author(s):  
Mahfuzul Haque ◽  
Oscar Varela ◽  
M. Kabir Hassan
Keyword(s):  
Portfolio Optimization ◽  
Extreme Value ◽  
Safety First

Safety‐first portfolio optimization after September 11, 2001

2010 ◽  
Vol 11 (1) ◽  
pp. 20-61 ◽  
Author(s):  
Mahfuzul Haque ◽  
Oscar Varela
Keyword(s):  
Portfolio Optimization ◽  
September 11 ◽  
Safety First

Safety First Portfolio Selection, Extreme Value Theory and Long Run Asset Risks

1994 ◽  
pp. 471-487 ◽  
Author(s):  
Laurens de Haan ◽  
Dennis W. Jansen ◽  
Kees Koedijk ◽  
Casper G. de Vries
Keyword(s):  
Portfolio Selection ◽  
Extreme Value Theory ◽  
Value Theory ◽  
Extreme Value ◽  
Long Run ◽  
Safety First

Portfolio Optimization in Post Financial Crisis of 2008-2009 in the Mongolian Stock Exchange

Jurnal METRIS ◽  
2020 ◽  
Vol 21 (01) ◽  
pp. 47-58
Author(s):  
Cheng-Wen Lee ◽  
Dolgion Gankhuyag
Keyword(s):  
Financial Crisis ◽  
Portfolio Optimization ◽  
Stock Exchange ◽  
Mathematical Statistic ◽  
The Mean ◽  
Financial Crisis Of 2008 ◽  
Mean Variance Portfolio ◽  
Mean Variance ◽  
Safety First ◽  
Portfolio Return

In this study, we present the Mongolian stock market’s performance post phenomenal financial crisis of 2008-2009, opportunities to invest and the risks problems. For analysis of the study, we used financial portfolio optimization models with restricted structure, mathematical statistic methods and financial methods. First, we considered about portfolio optimization in the Mongolian Stock Exchange using Markowitz’s modern portfolio theory and Telser’s safety first model. We used MSE weekly trading data chosen 50 most traded stocks out of 237 stocks listed at the MSE between 2009 and 2013. We generated 50 weeks mean-variance portfolio and safety first portfolio for 2014 and discussed. We considered weekly investment in the MSE using mean-variance portfolio andsafety first portfolio. The mean-variance portfolio has the best performance of weekly portfolio return with average weekly return and cumulative return. We found stable portfolio against investing risk and did back-test the result. For prospect investors in the MSE, we suggest invest and earn high return in the MSE.

Modeling European hot spells using extreme value analysis

2014 ◽  
Vol 58 (3) ◽  
pp. 193-207 ◽  
Author(s):  
C Photiadou ◽  
MR Jones ◽  
D Keellings ◽  
CF Dewes
Keyword(s):  
Extreme Value ◽  
Extreme Value Analysis ◽  
Value Analysis ◽  
Hot Spells
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