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The impact of estimation error on latent factor model forecasts of portfolio risk
Bianchi, Stephen W.; Goldberg, Lisa; Rosenberg, Allan - In: The journal of portfolio management : a publication of … 43 (2017) 5, pp. 147-156
Persistent link: https://www.econbiz.de/10011686352
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Factor timing with cross-sectional and time-series predictors
Hodges, Philip; Hogan, Kedreth C.; Peterson, Justin R.; … - In: The journal of portfolio management : a publication of … 44 (2017) 1, pp. 30-43
Persistent link: https://www.econbiz.de/10011877409
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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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Two types of factors : a return decomposition for factor portfolios
Kushner, Joseph - In: The journal of portfolio management : a publication of … 43 (2017) 4, pp. 17-32
Persistent link: https://www.econbiz.de/10011804339
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The myth of diversification
Chua, David B.; Kritzman, Mark; Page, Sébastien - In: The journal of portfolio management : a publication of … 36 (2009/10) 1, pp. 26-35
Persistent link: https://www.econbiz.de/10003909563
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Portfolio of risk premia : a new approach to diversification
Bender, Jennifer; Briand, Remy; Nielsen, Frank; Stefek, Dan - In: The journal of portfolio management : a publication of … 36 (2009/10) 2, pp. 17-25
Persistent link: https://www.econbiz.de/10003966185
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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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Risk parity, maximum diversification, and minimum variance : an analytic perspective
Clarke, Roger G.; DeSilva, Harindra; Thorley, Steven - In: The journal of portfolio management : a publication of … 39 (2013) 3, pp. 39-53
Persistent link: https://www.econbiz.de/10009750766
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Frictional costs of diversification
Scherer, Bernd - In: The journal of portfolio management : a publication of … 39 (2013) 3, pp. 7-9
Persistent link: https://www.econbiz.de/10009750773