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Regime shifts in mean-variance efficient frontiers : some international evidence

Guidolin, Massimo; Ria, Federica - In: The journal of asset management 12 (2011) 5, pp. 322-349

Persistent link: https://www.econbiz.de/10009377003

Corporate diversification and abnormal returns

Lawrey, Chris M.; Morris, Brandon C. L. - In: The journal of asset management 20 (2019) 1, pp. 31-37

Persistent link: https://www.econbiz.de/10012059741

Cryptocurrencies from the perspective of euro investors : a reexamination of diversification benefits and a new day-of-the-week effect

Dorfleitner, Gregor; Lung, Carina - In: The journal of asset management 19 (2018) 7, pp. 472-494

Persistent link: https://www.econbiz.de/10011958136

Volatility, correlation, and diversification in a multi-factor world

Roll, Richard - In: The journal of portfolio management : a publication of … 39 (2013) 2, pp. 11-18

Persistent link: https://www.econbiz.de/10009708228

Feasible momentum strategies in the US stock market

Ammann, Manuel; Moellenbeck, Marcel; Schmid, Markus M. - In: The journal of asset management 11 (2010/11) 6, pp. 362-374

Persistent link: https://www.econbiz.de/10008906493

Risk aversion, order strategy and price formation

Wang, Ming-Chang; Zu, Lon-Ping; Kuo, Chau-jung - In: Applied economics 42 (2010) 4/6, pp. 627-640

This article provides a model of order-submission strategy and price formation by analysing the optimal behaviour of risk-averse uninformed traders. According to our inference, the market dynamically adjusts the bid/ask at any moment to generate enough price improvement return in order to cover...

Persistent link: https://www.econbiz.de/10003952148