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Volatility, correlation, and diversification in a multi-factor world
Roll, Richard - In: The journal of portfolio management : a publication of … 39 (2013) 2, pp. 11-18
Persistent link: https://www.econbiz.de/10009708228
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How unlucky is 25-Sigma?
Dowd, Kevin; Cotter, John; Humphrey, Chris; Woods, Margaret - In: The journal of portfolio management : a publication of … 34 (2007/08) 4, pp. 76-80
Persistent link: https://www.econbiz.de/10003769562
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Seeking alpha? : it's a bad guideline for portfolio optimization
Levy, Moshe; Roll, Richard - In: The journal of portfolio management : a publication of … 42 (2016) 5, pp. 107-112
Persistent link: https://www.econbiz.de/10011686777
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Generalized performance measures : optimal overweighing of fees relative to sample returns
Levy, Moshe; Roll, Richard - In: The journal of portfolio management : a publication of … 44 (2017) 3, pp. 66-75
Persistent link: https://www.econbiz.de/10011877634
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Mimicking portfolios
Roll, Richard; Srivastava, Akshay - In: The journal of portfolio management : a publication of … 44 (2018) 5, pp. 21-35
Persistent link: https://www.econbiz.de/10011879441