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Inhomogeneous financial markets in a low interest rate environment : a cluster analysis of eurozone economies
Tatay, Tibor; Orlovits, Zsanett; Novák, Zsuszanna - In: Risks : open access journal 10 (2022) 10, pp. 1-22
In the present paper, we investigate the financial homogeneity of the euro area economies by contrasting eurozone … changes in the portfolio holdings of eurozone economic actors owing to economic crises and monetary policy responses. The … different Eurozone countries, both during and after the crisis. Despite some similarities in the portfolio rearrangement across …
Persistent link: https://www.econbiz.de/10013556643
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Risk parity optimality
Fisher, Gregg S.; Maymin, Philip Z.; Maymin, Zakhar G. - In: The journal of portfolio management : a publication of … 41 (2015) 2, pp. 42-56
Persistent link: https://www.econbiz.de/10011294200
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Pension fund management, investment performance, and herding in the context of regulatory changes : new evidence from the Polish pension system
Dopierała, Łukasz; Mosionek-Schweda, Magdalena - In: Risks : open access journal 9 (2021) 1/6, pp. 1-19
The aim of this paper is to assess the impact of reforms introduced in the operation of Polish open pension funds on management style, risk exposure and related investment performance. The article analyzes the impact of the reformed regulations on the herd behavior of fund managers. In...
Persistent link: https://www.econbiz.de/10012422900
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On the consistent use of VaR in portfolio performance evaluation : a cautionary note
Zakamouline, Valeri - In: The journal of portfolio management : a publication of … 37 (2010/11) 1, pp. 92-104
Persistent link: https://www.econbiz.de/10008737992
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A scenarios approach to asset allocation
Gosling, Susan - In: The journal of portfolio management : a publication of … 37 (2010/11) 1, pp. 53-66
Persistent link: https://www.econbiz.de/10008738004
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The properties of equally weighted risk contribution portfolios
Maillard, Sébastien; Roncalli, Thierry; Teïletche, … - In: The journal of portfolio management : a publication of … 36 (2009/10) 4, pp. 60-70
Persistent link: https://www.econbiz.de/10008652158
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Signal weighting
Grinold, Richard - In: The journal of portfolio management : a publication of … 36 (2009/10) 4, pp. 24-34
Persistent link: https://www.econbiz.de/10008652181
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Efficient replication of factor retturns : theory and applications
Melas, Dimitris; Suryanarayanan, Raghu; Cavaglia, Stefano - In: The journal of portfolio management : a publication of … 36 (2009/10) 2, pp. 39-51
Persistent link: https://www.econbiz.de/10003966450
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Global tactical sector allocation : a quantitative approach
Doeswijk, Ronald; Vliet, Willem Nicolaas van - In: The journal of portfolio management : a publication of … 38 (2011/12) 1, pp. 29-47
Persistent link: https://www.econbiz.de/10009381271
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Implied expected returns and the choice of a mean-variance efficient portfolio proxy
Ardia, David; Boudt, Kris - In: The journal of portfolio management : a publication of … 41 (2015) 4, pp. 68-81
Persistent link: https://www.econbiz.de/10011432240