Ayush Jha, Abootaleb Shirvani, Ali Jaffri, Svetlozar T. Rachev, Frank J. Fabozzi
arXiv 27 Jan 2025 · Econometrics · 1 citations (OpenAlex)
arXiv:2501.15793 · PDF · DOI · OpenAlex · Extracted main text
This study presents the Adaptive Minimum-Variance Portfolio (AMVP) framework and the Adaptive Minimum-Risk Rate (AMRR) metric, innovative tools designed to optimize portfolios dynamically in volatile and nonstationary financial markets. Unlike traditional minimum-variance approaches, the AMVP framework incorporates real-time adaptability through advanced econometric models, including ARFIMA-FIGARCH processes and non-Gaussian innovations. Empirical applications on cryptocurrency and equity markets demonstrate the proposed framework's superior performance in risk reduction and portfolio stability, particularly during periods of structural market breaks and heightened volatility. The findings highlight the practical implications of using the AMVP and AMRR methodologies to address modern investment challenges, offering actionable insights for portfolio managers navigating uncertain and rapidly changing market conditions.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Black, F (1972) Capital market equilibrium with restricted borrowing | 0.737 | 3 | 2 | 100% |
| 2 | Adrian, T., Crump, R. K., and Moench, E (2013) Pricing the term structure with linear regressions | 0.644 | 2 | 2 | 100% |
| 3 | Hansen, L. P. and Jagannathan, R (1991) Implications of security market data for models of dynamic economies | 0.644 | 2 | 2 | 100% |
| 4 | Krishnamurthy, A. and Vissing-Jorgensen, A (2012) The aggregate demand for treasury debt | 0.511 | 2 | 1 | 100% |
| 5 | Acharya, V. V. and Pedersen, L. H (2005) Asset pricing with liquidity risk | 0.405 | 1 | 1 | 100% |
| 6 | Allingham, M (1991) Existence theorems in the capital asset pricing model | 0.405 | 1 | 1 | 100% |
| 7 | Caballero, R. J. and Simsek, A (2021) A model of endogenous risk intolerance and lsaps: Asset prices and aggregate demand in a covid-19 shock | 0.405 | 1 | 1 | 100% |
| 8 | Fama, E (1971) Risk, return, and equilibrium | 0.405 | 1 | 1 | 100% |
| 9 | Gorton, G., Lewellen, S., and Metrick, A (2012) The safe-asset share | 0.405 | 1 | 1 | 100% |
| 10 | Konno, H. and Shirakawa, H (1995) Existence of a non-negative equilibrium price vector in the mean-variance capital market | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 29 scored citations.