Yazar "Boduroğlu, İ. İlkay" için listeleme
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Investigation of stochastic pairs trading strategies under different volatility regimes
Baronyan, S.R.; Boduroğlu, İ. İlkay; Şener, E. (2010)We investigate several market-neutral trading strategies and find empirical evidence that market-neutral equity trading outperforms in 2008, the first full year of the global financial meltdown. In our experiments we use ... -
Portfolio Optimization via a Surrogate Risk Measure: Conditional Desirability Value at Risk (CDVaR)
Boduroğlu, İ. İlkay (Springer International Publishing Ag, 2019)A risk measure that specifies minimum capital requirements is the amount of cash that must be added to a portfolio to make its risk acceptable to regulators. The 2008 financial crisis highlighted the demise of the most ...