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A risk-return explanation of the momentum-reversal "anomaly"
Booth, G. Geoffrey; Fung, Hung-gay; Leung, Wai K. - In: Journal of empirical finance 35 (2016), pp. 68-77
Persistent link: https://www.econbiz.de/10011662718
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Conditional portfolio allocation : does aggregate market liquidity matter?
Bazgour, Tarik; Heuchenne, Cedric; Sougné, Danielle - In: Journal of empirical finance 35 (2016), pp. 110-135
Persistent link: https://www.econbiz.de/10011662728
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Are idiosyncratic volatility and MAX priced in the Canadian market?
Aboulamer, Anas; Kryzanowski, Lawrence - In: Journal of empirical finance 37 (2016), pp. 20-36
Persistent link: https://www.econbiz.de/10011662897
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Bond portfolio optimization using dynamic factor models
Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Journal of empirical finance 37 (2016), pp. 128-158
Persistent link: https://www.econbiz.de/10011662973
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The benefits of improved covariance estimation
Turtle, Harry J.; Wang, Kainan - In: Journal of empirical finance 37 (2016), pp. 233-246
Persistent link: https://www.econbiz.de/10011663041
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Limits to mutual funds' ability to rely on mean/variance optimization
Karagiannidis, Iordanis; Vozlyublennaia, Nadia - In: Journal of empirical finance 37 (2016), pp. 282-292
Persistent link: https://www.econbiz.de/10011663061
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Optimal conditional hedge ratio : a simple shrinkage estimation approach
Kim, Myeong Jun; Park, Sung Y. - In: Journal of empirical finance 38 (2016), pp. 139-156
Persistent link: https://www.econbiz.de/10011663233
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A network approach to portfolio selection
Peralta, Gustavo; Zareei, Abalfazl - In: Journal of empirical finance 38 (2016), pp. 157-180
Persistent link: https://www.econbiz.de/10011663236
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Wealth fluctuations and investment in risky assets : the UK micro evidence on households asset allocation
Payá, Ivan; Wang, Peng - In: Journal of empirical finance 38 (2016), pp. 221-235
Persistent link: https://www.econbiz.de/10011663298
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Duality in mean-variance frontiers with conditioning information
Peñaranda, Francisco; Sentana, Enrique - In: Journal of empirical finance 38 (2016), pp. 762-785
Persistent link: https://www.econbiz.de/10011663795