Sectoral portfolio optimization by judicious selection of financial ratios via PCA
Embedding value investment in portfolio optimization models has always been a challenge.
In this paper, we attempt to incorporate it by employing principal component analysis (PCA) …
In this paper, we attempt to incorporate it by employing principal component analysis (PCA) …
Systemic risk assessment of Lithuanian second-pillar pension funds through connectedness and spillover
A Kabašinskas - Journal of Mathematics in Industry, 2024 - Springer
Pension funds are an essential part of retirement planning, and their performance and risks
play a significant role in ensuring financial stability for retirees. This study aims to analyse …
play a significant role in ensuring financial stability for retirees. This study aims to analyse …
[PDF][PDF] Performance evaluation of lithuanian ii pillar pension funds using rolling window technique
This paper presents results of performance evaluation of Lithuanian II pillar pension funds
using rolling window technique. The Lithuanian pension system has three pillars: mandatory …
using rolling window technique. The Lithuanian pension system has three pillars: mandatory …
An analytical EM algorithm for sub-gaussian vectors
A Kabašinskas, L Sakalauskas, I Vaičiulytė - Mathematics, 2021 - mdpi.com
The area in which a multivariate α-stable distribution could be applied is vast; however, a
lack of parameter estimation methods and theoretical limitations diminish its potential …
lack of parameter estimation methods and theoretical limitations diminish its potential …