Browsing International Scientific Conference “Business and Management" by Institution "Universidad Politécnica de Valencia"
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Modelling conditional volatility in stock indices: a comparison of the arma-egarch model versus neuronal network backpropagation
(8th International Scientific Conference “Business and Management 2014”, 2014)The analysis of conditional volatility is a key factor to correctly assess the risk of several financial assets such as shares, bonds or index as well as derivatives (futures and options). The econometric models from the ... -
Partial index tracking: satisfying different investment profiles with the same subset of stocks
(7th International Scientific Conference “Business and Management 2012”, 2012)Pasive portfolio management aims to minimize the unsystematic risk of the portfolios by imitating the behaviour of a stock index. Partial index tracking enables passive portfolio management by only considering a subset of ...