Showing 1 - 10 of 11
Persistent link: https://www.econbiz.de/10009660448
Persistent link: https://www.econbiz.de/10008663204
Persistent link: https://www.econbiz.de/10012802500
We examine government bond factor premiums in a deep global sample from 1800 to 2020 spanning the major markets and maturities. Bond factors (Value, Momentum, Low-risk) offer attractive premiums that do not decay across samples, are persistent over time, and consistent across various market and...
Persistent link: https://www.econbiz.de/10013221994
edging short gamma exposure requires trading in the direction of price movements,thereby creating price momentum. Using intraday returns on over 60 futures on equities,bonds, commodities, and currencies between 1974 and 2020, we document strong “marketintraday momentum” everywhere. The...
Persistent link: https://www.econbiz.de/10013249959
Persistent link: https://www.econbiz.de/10012875933
Persistent link: https://www.econbiz.de/10014321636
We develop and implement linear formulations of general N-th order Stochastic Dominance criteria for discrete probability distributions. Our approach is based on a piece-wise polynomial representation of utility and its derivatives and can be implemented by solving a relatively small system of...
Persistent link: https://www.econbiz.de/10012940302
We develop an optimization method for constructing investment portfolios that dominate a given benchmark index in terms of third-degree stochastic dominance. Our approach relies on the properties of the semivariance function, a refinement of an existing ‘super-convex' dominance condition and...
Persistent link: https://www.econbiz.de/10013003062
An optimization method is developed for constructing investment portfolios which stochastically dominate a given benchmark for all decreasing absolute risk-averse investors, using Quadratic Programming. The method is applied to standard data sets of historical returns of equity price reversal...
Persistent link: https://www.econbiz.de/10012932280