default author photo

Maziar Sahamkhadam

Linnaeus University

Växjö, S-35195

Sweden

  • Linnaeus University

SCHOLARLY PAPERS

4

DOWNLOADS

876

TOTAL CITATIONS

0

Scholarly Papers (4)

Actions:
Email selected abstracts
1.

Copula-Based Black-Litterman Portfolio Optimization

Number of pages: 32 Posted: 24 Nov 2020
Maziar Sahamkhadam, Andreas Stephan and Ralf Östermark
Linnaeus University, Linnaeus University and School of Business and Economics - Åbo Akademi University
Downloads 458 (158,280)

Abstract:

Loading...

Finance, portfolio optimization, Black--Litterman framework, truncated regular vine copula, tail constraints, conditional value-at-risk

2.

Portfolio Optimization Based on Forecasting Models Using Vine Copulas: An Empirical Assessment for the Global Financial and for the COVID-19 Crisis

Number of pages: 33 Posted: 10 Jan 2020 Last Revised: 29 Apr 2021
Maziar Sahamkhadam and Andreas Stephan
Linnaeus University and Linnaeus University
Downloads 193 (399,431)

Abstract:

Loading...

Vine Copula, Asymmetric Tail Dependence, Portfolio Optimization, Value-at-Risk Back-testing

3.

Analysis of Forecasting Models in an Electricity Market under Volatility

ADBI Working Paper 1212
Number of pages: 22 Posted: 19 Mar 2021
Gazi Salah Uddin, Maziar Sahamkhadam, Farhad Taghizadeh-Hesary, Muhammad Yahya, Ou Tang, Pontus Cerin and Jakob Rehme
Linkoping University - Department of Management and Engineering Division, Linnaeus University, Tokai University, Norwegian University of Life Sciences (NMBU) - School of Economics and Business, Linkoping University, Linkoping University and Linkoping University
Downloads 136 (547,695)

Abstract:

Loading...

forecasting, Swedish electricity market, GARCH modeling, multi-scale analysis, Gazi Salah Uddin, Ou Tang, Maziar Sahamkhadam, Farhad Taghizadeh-Hesary, Muhammad Yahya, Pontus Cerin, Jakob Rehme

4.

Socially Responsible Multiobjective Optimal Portfolios

Number of pages: 39 Posted: 01 Jun 2022
Maziar Sahamkhadam and Andreas Stephan
Linnaeus University and Linnaeus University
Downloads 89 (759,537)

Abstract:

Loading...

finance, multiobjective portfolio, reward/risk maximization, vine copula, conditional value at risk, zero-order stochastic dominance