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A tangled tale of training and talent : PhDs in institutional asset management
Chaudhuri, Ranadeb; Ivković, Zoran; Pollet, Joshua M.; … - In: Management science : journal of the Institute for … 66 (2020) 12, pp. 5623-5647
Persistent link: https://www.econbiz.de/10012391403
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Jackknife estimator for tracking error variance of optimal portfolios
Basak, Gopal Krishna; Jagannathan, Ravi; Ma, Tongshu - In: Management science : journal of the Institute for … 55 (2009) 6, pp. 990-1002
Persistent link: https://www.econbiz.de/10003865939
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Robust optimization of the equity momentum strategy
Oord, Arco van; Martens, Martin; Dijk, Herman K. van - 2009
Persistent link: https://www.econbiz.de/10003813788
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Robust optimization of the equity momentum strategy
Oord, Arco van; Martens, Martin; Dijk, Herman K. van - 2009
Quadratic optimization for asset portfolios often leads to error maximization, with optimizers zooming in on large errors in the predicted inputs, that is, expected returns and risks. The consequence in most cases is a poor real-time performance. In this paper we show how to improve real-time...
Persistent link: https://www.econbiz.de/10011377578
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Cash flow and discount rate risk in up and down markets : what is actually priced?
Botshekan, Mahmoud; Kräussl, Roman; Lucas, André - 2010
Persistent link: https://www.econbiz.de/10008771821
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Cashflow timing vs. discount-rate timing : an examination of mutual fund market-timing skills
Lan, Chunhua; Wermers, Russ - In: Management science : journal of the Institute for … 70 (2024) 2, pp. 694-713
Persistent link: https://www.econbiz.de/10014513397
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Dependent frequency-severity modeling of insurance claims
Shi, Peng; Feng, Xiaoping; Ivantsova, Anastasia - In: Insurance / Mathematics & economics 64 (2015), pp. 417-428
Persistent link: https://www.econbiz.de/10011398126
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Max-factor individual risk models with application to credit portfolios
Denuit, Michel; Kiriliouk, Anna; Segers, Johan - In: Insurance / Mathematics & economics 62 (2015), pp. 162-172
Persistent link: https://www.econbiz.de/10011312076
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Location of investors and capital flight
Botman, Dennis P. J.; Diks, Cees G. H. - 2002
may incur smaller costs when takinga short-position, are less exposed to exchange rate risk, possess better information … quality,have more knowledge about each others information sets, due to asymmetries in tax treatment,or because of the presence …
Persistent link: https://www.econbiz.de/10011326412
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Time-varying combinations of Bayesian dynamic models and equity momentum strategies
Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016
risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. …
Persistent link: https://www.econbiz.de/10011563065