Search Results - subject:"Equally-weighted"

Portfolios under different methods and scenarios: A case of Fiji's South Pacific stock exchange

Kumar, Ronald Ravinesh; Stauvermann, Peter - In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-27

possibility of opting for an equally weighted (näive) portfolio against market and minimum variance portfolios. To this … returns, the beta-adjusted returns indicate that an equally weighted portfolio can yield relatively higher expected returns … results. In a semi-variance analysis (where we account for downside risk only), equally weighted portfolio yields superior …

Persistent link: https://www.econbiz.de/10014332705

Equal-weighting and value-weighting : which one is better?

Qin, Nan; Singal, Vijay - In: Review of quantitative finance and accounting 58 (2022) 2, pp. 743-768

Persistent link: https://www.econbiz.de/10012818257

On the combination of naive and mean-variance portfolio strategies

Lassance, Nathan; Vanderveken, Rodolphe; Vrins, Frédéric - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 875-889

Persistent link: https://www.econbiz.de/10015053502

Portfolios under different methods and scenarios : a case of Fiji's South Pacific stock exchange

Kumar, Ronald Ravinesh; Stauvermann, Peter - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-27

possibility of opting for an equally weighted (naïve) portfolio against market and minimum variance portfolios. To this end, we …, the beta-adjusted returns indicate that an equally weighted portfolio can yield relatively higher expected returns than …. In a semi-variance analysis (where we account for downside risk only), equally weighted portfolio yields superior returns …

Persistent link: https://www.econbiz.de/10014284441

Combining the minimum-variance and equally-weighted portfolios : can portfolio performance be improved?

Jiang, Chonghui; Du, Jiangze; An, Yunbi - In: Economic modelling 80 (2019), pp. 260-274

Persistent link: https://www.econbiz.de/10012200533

Positional portfolio management

Gagliardini, Patrick; Gouriéroux, Christian; Rubin, Mirco - In: Journal of financial econometrics 19 (2021) 4, pp. 650-706

Persistent link: https://www.econbiz.de/10012654983

Inference in time series models using smoothed-clustered standard errors

Rho, Seunghwa; Vogelsang, Timothy J. - In: Journal of econometrics 224 (2021) 1, pp. 113-133

Persistent link: https://www.econbiz.de/10013275365

Do portfolio diversification benefits exist? : a study of selected developed and emerging markets

Patel, Ritesh Jayantibhai - In: Applied economics quarterly 67 (2021) 2, pp. 177-198

Persistent link: https://www.econbiz.de/10013334312

Trend following, risk parity and momentum in commodity futures

Clare, Andrew D.; Seaton, James; Smith, Peter N.; … - 2012

Persistent link: https://www.econbiz.de/10009663202

Trend Following, Risk Parity and Momentum in Commodity Futures

Clare, Andrew; Seaton, James; Smith, Peter N.; Thomas, … - Department of Economics and Related Studies, University … - 2012

We show that combining momentum and trend following strategies for individual commodity futures can lead to portfolios which offer attractive risk adjusted returns which are superior to simple momentum strategies; when we expose these returns to a wide array of sources of systematic risk we find...

Persistent link: https://www.econbiz.de/10010630696