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A multiobjective model for passive portfolio management : an application on the S&P 100 index
García, Fernando; Guijarro, Francisco; Moya, Ismael - In: Journal of business economics and management 14 (2013) 4, pp. 758-775
Persistent link: https://www.econbiz.de/10010188972
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Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus - In: Journal of econometrics 208 (2019) 1, pp. 23-42
Persistent link: https://www.econbiz.de/10012139775
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Understanding the outperformance of the minimum variance portfolio
Bednarek, Ziemowit; Patel, Pratish - In: Finance research letters 24 (2018), pp. 175-178
Persistent link: https://www.econbiz.de/10011982564
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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
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Dynamic mean variance asset allocation : tests for robustness
Forsyth, Peter A.; Vetzal, Kenneth R. - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-37
Persistent link: https://www.econbiz.de/10011777889
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Portfolio selection with monotone mean-variance preferences
Maccheroni, Fabio; Marinacci, Massimo; Rustichini, Aldo; … - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 487-521
Persistent link: https://www.econbiz.de/10003882796
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Factor high-frequency based volatility (HEAVY) models
Sheppard, Kevin; Xu, Wen - 2014
Persistent link: https://www.econbiz.de/10010365630
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Long-term performance evaluation : methodological issues and empirical applications
Hoechle, Daniel - 2007
Persistent link: https://www.econbiz.de/10003591346
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Anomaly Predictability with the Mean-Variance Portfolio
Favero, Carlo A.; Melone, Alessandro; Tamoni, Andrea - 2023
According to no-arbitrage, risk-adjusted returns should be unpredictable. Using several prominent factor models and a large cross-section of anomalies, we find that past pricing errors predict future risk-adjusted anomaly returns. We show that past pricing errors can be interpreted as deviations...
Persistent link: https://www.econbiz.de/10014348676
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Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility
Yan, Tingjin; Han, Bingyan; Pun, Chi Seng; Wong, Hoi Ying - In: Mathematics and financial economics 14 (2020) 4, pp. 699-724
Persistent link: https://www.econbiz.de/10012321867