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The relationship between accounting returns and stock market returns : Australian evidence
Allen, David E.; Lim, Paul K.; McDonald, Garry A. - 1993
Persistent link: https://www.econbiz.de/10000881946
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Down-side risk metrics as portfolio diversification strategies across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
Persistent link: https://www.econbiz.de/10011432732
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A multi-criteria portfolio analysis of hedge fund strategies
Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - 2017
This paper features a tri-criteria analysis of Eurekahedge fund data strategy index data. We use nine Eurekahedge equally weighted main strategy indices for the portfolio analysis. The tri-criteria analysis features three objectives: return, risk and dispersion of risk objectives in a...
Persistent link: https://www.econbiz.de/10011587620
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A multi-criteria financial and energy portfolio analysis of hedge fund strategies
Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - 2018
Persistent link: https://www.econbiz.de/10011868783
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Minimizing loss at times of financial crisis : Quantile Regression as a tool for portfolio investment decisions
Allen, David E.; Singh, Abhay Kumar - 2009
Persistent link: https://www.econbiz.de/10008667281
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Asset pricing, the Fama-French factor model and the implications of Quantile Regression analysis
Allen, David E.; Singh, Abhay Kumar; Powell, Robert - 2009
Persistent link: https://www.econbiz.de/10008667282
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Realized volatility risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - 2010
Persistent link: https://www.econbiz.de/10008689075
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Realized volatility risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - 2013
Persistent link: https://www.econbiz.de/10009784942
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Asset selection using factor model and data envelope analysis : a quantile regression approach
Singh, Abhay Kumar; Allen, David E. - 2010
Persistent link: https://www.econbiz.de/10008760318
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Return-volatility relationship : insights from linear and non-linear quantile regression
Allen, David E.; Singh, Abhay Kumar; Powell, Robert; … - 2013
Persistent link: https://www.econbiz.de/10009724826