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Market proxies as factors in linear asset pricing models : still living with the roll critique
Prono, Todd - In: Journal of empirical finance 31 (2015), pp. 36-53
Persistent link: https://www.econbiz.de/10011489332
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Comment on "A note on the returns from minimum variance investing"
Yanushevsky, Rafael; Yanushevsky, Daniel - In: Journal of empirical finance 31 (2015), pp. 109-110
Persistent link: https://www.econbiz.de/10011489417
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Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz
Mainik, Georg; Mitov, Georgi; Rüschendorf, Ludger - In: Journal of empirical finance 32 (2015), pp. 115-134
Persistent link: https://www.econbiz.de/10011556804
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Modern portfolio management with conditioning information
Chiang, I-Hsuan Ethan - In: Journal of empirical finance 33 (2015), pp. 114-134
Persistent link: https://www.econbiz.de/10011556857
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The economic value of volatility timing with realized jumps
Nolte, Ingmar; Xu, Qi - In: Journal of empirical finance 34 (2015), pp. 45-59
Persistent link: https://www.econbiz.de/10011556992
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Beta vs. characteristics : comparison of risk model performances
Daehwan, Kim - In: Journal of empirical finance 34 (2015), pp. 156-171
Persistent link: https://www.econbiz.de/10011557085
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Measures of equity home bias puzzle
Mishra, Anil V. - In: Journal of empirical finance 34 (2015), pp. 293-312
Persistent link: https://www.econbiz.de/10011557153
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Characteristic-sorted portfolios and macroeconomic risks : an orthogonal decomposition
Adcock, Christopher; Bessler, Wolfgang; Conlon, Thomas - In: Journal of empirical finance 65 (2022), pp. 24-50
Persistent link: https://www.econbiz.de/10013286399
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A toolkit for exploiting contemporaneous stock correlations
Hiraki, Kazuhiro; Sun, Chuanping - In: Journal of empirical finance 65 (2022), pp. 99-124
Persistent link: https://www.econbiz.de/10013286402
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Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies
Ding, Wenjie; Mazouz, Khelifa; Wang, Qingwei - In: Journal of empirical finance 63 (2021), pp. 42-56
Persistent link: https://www.econbiz.de/10013258724