Similar Search Results

Maximizing predictability in the stock and bond markets

Lo, Andrew W. - In: Macroeconomic dynamics 1 (1997) 1, pp. 102-134

Persistent link: https://www.econbiz.de/10001337437

Data-snooping biases in tests of financial asset pricing models

Lo, Andrew W. - In: The review of financial studies 3 (1990) 3, pp. 431-467

Persistent link: https://www.econbiz.de/10001105895

When are contrarian profits due to stock market overreaction?

Lo, Andrew W. - In: The review of financial studies 3 (1990) 2, pp. 175-205

Persistent link: https://www.econbiz.de/10001105905

Optimal control of execution costs

Bertsimas, Dimitris - In: Journal of financial markets 1 (1998) 1, pp. 1-50

Persistent link: https://www.econbiz.de/10001249274

Consumption, inflation risk and dynamic hedging

Schubert, Stefan Franz; Broll, Udo - In: Contemporary economics 9 (2015) 2, pp. 171-179

Our study examines the behavior of a risk-averse investor who faces two sources of uncertainty: a random asset price and inflation risk. Both sources of uncertainty make it difficult to stabilize consumption over time. However, investors can enter risk-sharing markets, such as futures markets,...

Persistent link: https://www.econbiz.de/10011306018

When do stop-loss rules stop losses?

Kaminski, Kathryn M.; Lo, Andrew W. - In: Journal of financial markets 18 (2014), pp. 234-254

Persistent link: https://www.econbiz.de/10010442454

Risk-constrained Kelly portfolios under alpha-stable laws

Wesselhöfft, Niels; Härdle, Wolfgang - In: Computational economics 55 (2020) 3, pp. 801-826

Persistent link: https://www.econbiz.de/10012223676

Investing with cryptocurrencies : a liquidity constrained investment approach

Trimborn, Simon; Li, Mingyang; Härdle, Wolfgang - In: Journal of financial econometrics 18 (2020) 2, pp. 280-306

Persistent link: https://www.econbiz.de/10012232957

Risk sharing markets and hedging a loan portfolio: a note

Broll, Udo; Guo, Xu; Welzel, Peter - In: Economics and business review 3 (2017) 4, pp. 47-54

Persistent link: https://www.econbiz.de/10011795807

Stop-loss strategies with serial correlation, regime switching, and transaction costs

Lo, Andrew W.; Remorov, Alexander - In: Journal of financial markets 34 (2017), pp. 1-15

Persistent link: https://www.econbiz.de/10011815030