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Optimal asset allocation with factor models for large portfolios

Pesaran, M. Hashem; Zaffaroni, Paolo - 2008

Persistent link: https://www.econbiz.de/10003850829

Model averaging in risk management with an application to futures markets

Pesaran, M. Hashem (contributor); … - 2008

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Asset management with price impact and fair treatment of clients

Jezek, Michal; Satchell, Stephen - 2010

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1/N versus mean-variance : what if we can forecast?

Allen, David; Lizieri, Colin; Satchell, Stephen - 2012

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Continuous cumulative prospects theory and individual asset allocation

Davies, Greg B. (contributor); Satchell, Stephen (contributor) - 2004 - [Elektronische Ressource]

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A loss aversion performance measure

Farah, Nathalie (contributor); Satchell, Stephen (contributor) - 2003 - [Elektronische Ressource]

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Generalised mean-variance analysis and robust portfolio diversification

Wright, Stephen M. (contributor); … - 2002 - [Elektronische Ressource]

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Changing correlation and portfolio diversification failure in the presence of large market losses

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Imitative learning, endogenous asset correlation and market crashes

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Testing for alpha in linear factor pricing models with a large number of securities

Pesaran, M. Hashem; Yamagata, Takashi - 2017

This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...

Persistent link: https://www.econbiz.de/10011630054