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When factors do not span their basis portfolios
Grinblatt, Mark; Saxena, Konark - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 6, pp. 2335-2354
Persistent link: https://www.econbiz.de/10012128025
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Beta matrix and common factors in stock returns
Ahn, Seung Chan; Horenstein, Alex R.; Wang, Na - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 3, pp. 1417-1440
Persistent link: https://www.econbiz.de/10011930424
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Which is the best : a comparison of asset pricing factor models in Chinese mutual fund industry
Sha, Yezhou; Gao, Ran - In: Economic modelling 83 (2019), pp. 8-16
Persistent link: https://www.econbiz.de/10012204236
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Estimation of multivariate asset models with jumps
Ballotta, Laura; Fusai, Gianluca; Loregian, Angela; … - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 5, pp. 2053-2083
Persistent link: https://www.econbiz.de/10012140059
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International diversification with large- and small-cap stocks
Eun, Cheol S.; Huang, Wei; Lai, Sandy - In: Journal of financial and quantitative analysis : JFQA 43 (2008) 2, pp. 489-524
Persistent link: https://www.econbiz.de/10003729143
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Why do firms with diversification discounts have higher expected returns?
Mitton, Todd; Vorkink, Keith - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 6, pp. 1367-1390
Persistent link: https://www.econbiz.de/10008909165
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Risk measures : rationality and diversification
Cerreia-Vioglio, Simone; Maccheroni, Fabio; Marinacci, … - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 743-774
Persistent link: https://www.econbiz.de/10009312216
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World gold prices and stock returns in China : insights for hedging and diversification strategies
Arouri, Mohamed; Lahiani, Amine; Nguyen, Duc Khuong - In: Economic modelling 44 (2015), pp. 273-282
Persistent link: https://www.econbiz.de/10011326226
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Approximating large diversified portfolios
Hofmann, Norbert; Platen, Eckhard - In: Mathematical finance : an international journal of … 10 (2000) 1, pp. 77-88
Persistent link: https://www.econbiz.de/10002177158
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The long-run diversification benefits available from investing across geographical regions and property type : evidence from cointegration tests
Tarbert, Heather - In: Economic modelling 15 (1998) 1, pp. 49-65
Persistent link: https://www.econbiz.de/10001247849