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Data-snooping, technical trading rule performance, and the bootstrap
Sullivan, Ryan; Timmermann, Allan; White, Halbert - In: The journal of finance : the journal of the American … 54 (1999) 5, pp. 1647-1691
Persistent link: https://www.econbiz.de/10001430863
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Size matters : optimal calibration of shrinkage estimators for portfolio selection
DeMiguel, Victor; Martin-Utrera, Alberto; Nogales, … - In: Journal of banking & finance 37 (2013) 8, pp. 3018-3034
Persistent link: https://www.econbiz.de/10009777150
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Investor attention, index performance, and return predictability
Vozlyublennaia, Nadia - In: Journal of banking & finance 41 (2014), pp. 17-35
Persistent link: https://www.econbiz.de/10010407999
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The choice of the distribution of asset returns : how extreme value theory can help?
Longin, François M. - In: Journal of banking & finance 29 (2005) 4, pp. 1017-1035
Persistent link: https://www.econbiz.de/10002601166
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Be greedy when others are fearful : evidence from a two-decade assessment of the NDX 100 and S&P 500 indexes
Day, Min-Yuh; Ni, Yensen - In: International review of financial analysis 90 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014468853
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Higher-order Omega : a performance index with a decision-theoretic foundation
Bi, Hongwei; Huang, Rachel J.; Tzeng, Larry Y.; Zhu, Wei - In: Journal of banking & finance 100 (2019), pp. 43-57
Persistent link: https://www.econbiz.de/10012162443
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A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks
Kircher, Felix; Rösch, Daniel - In: Journal of banking & finance 133 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10013256632
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Temporal aggregation of the Aumann-Serrano and Foster-Hart performance indexes
Hodoshima, Jiro; Yamawake, Toshiyuki - In: International review of financial analysis 83 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013454995
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Nonparametric correlation models for portfolio allocation
Aslanidis, Nektarios; Casas, Isabel - In: Journal of banking & finance 37 (2013) 7, pp. 2268-2283
Persistent link: https://www.econbiz.de/10009760686
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Return sign forecasts based on conditional risk : evidence from the UK stock market index
Chevapatrakul, Thanaset - In: Journal of banking & finance 37 (2013) 7, pp. 2342-2353
Persistent link: https://www.econbiz.de/10009760654