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Dynamic alpha : a spectral decomposition of investment performance across time horizons
Chaudhuri, Shomesh E.; Lo, Andrew W. - In: Management science : journal of the Institute for … 65 (2019) 9, pp. 4440-4450
Persistent link: https://www.econbiz.de/10012118591
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Dynamic portfolio execution
Tsoukalas, Gerry; Wang, Jiang; Giesecke, Kay - In: Management science : journal of the Institute for … 65 (2019) 5, pp. 2015-2040
Persistent link: https://www.econbiz.de/10012039722
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Valuable choices : prominent venture capitalists' influence on startup CEO replacements
Conti, Annamaria; Graham, Stuart J. H. - In: Management science : journal of the Institute for … 66 (2020) 3, pp. 1325-1350
Persistent link: https://www.econbiz.de/10012234599
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The distribution of the sample minimum-variance frontier
Kan, Raymond; Smith, Daniel R. - In: Management science : journal of the Institute for … 54 (2008) 7, pp. 1364-1380
Persistent link: https://www.econbiz.de/10003755064
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A generalized approach to portfolio optimization : improving performance by constraining portfolio norms
DeMiguel, Victor; Garlappi, Lorenzo; Nogales, Francisco J. - In: Management science : journal of the Institute for … 55 (2009) 5, pp. 798-812
Persistent link: https://www.econbiz.de/10003859991
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Momentum and mean reversion in strategic asset allocation
Koijen, Ralph S. J.; Rodríguez, Juan Carlos; Sbuelz, … - In: Management science : journal of the Institute for … 55 (2009) 7, pp. 1199-1213
Persistent link: https://www.econbiz.de/10003864233
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Defining bad news : changes in return distributions that decrease risky asset demand
Hollifield, Burton; Kraus, Alan - In: Management science : journal of the Institute for … 55 (2009) 7, pp. 1227-1236
Persistent link: https://www.econbiz.de/10003864255
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Jackknife estimator for tracking error variance of optimal portfolios
Basak, Gopal Krishna; Jagannathan, Ravi; Ma, Tongshu - In: Management science : journal of the Institute for … 55 (2009) 6, pp. 990-1002
Persistent link: https://www.econbiz.de/10003865939
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Performance of portfolios optimized with estimation error
Siegel, Andrew F.; Woodgate, Artemiza - In: Management science : journal of the Institute for … 53 (2007) 6, pp. 1005-1015
Persistent link: https://www.econbiz.de/10003490993
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Proper conditioning for coherent VaR in portfolio management
Garcia, René; Renault, Éric; Tsafack, Georges - In: Management science : journal of the Institute for … 53 (2007) 3, pp. 483-494
Persistent link: https://www.econbiz.de/10003451621