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Smart Alpha : active management with unstable and latent factors
Boucher, Christophe; Jasinski, Alexandre; Kouontchou, … - In: Quantitative finance 21 (2021) 6, pp. 893-909
Persistent link: https://www.econbiz.de/10012515624
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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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Scenario analysis for derivative portfolios via dynamic factor models
Haugh, Martin B.; Lacedelli, Octavio Ruiz - In: Quantitative finance 20 (2020) 4, pp. 547-571
Persistent link: https://www.econbiz.de/10012194907
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A basket half full : sparse portfolios
Seregina, Ekaterina - In: Quantitative finance 23 (2023) 12, pp. 1833-1852
Persistent link: https://www.econbiz.de/10014452457
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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
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Robust portfolio rebalancing with cardinality and diversification constraints
Zhao, Zhihua; Xu, Fengmin; Du, Donglei; Meihua, Wang - In: Quantitative finance 21 (2021) 10, pp. 1707-1721
Persistent link: https://www.econbiz.de/10012653708
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Factor tracking : a new smart beta strategy that outperforms naïve diversification
Jiang, Chonghui; Du, Jiangze; An, Yunbi; Zhang, Jinqing - In: Economic modelling 96 (2021), pp. 396-408
Persistent link: https://www.econbiz.de/10012745446