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Exploring the behaviour of actively managed, maximally diversified portfolios

Theron, L.; Van Vuuren, Gary - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 44 (2020) 2, pp. 49-72

Persistent link: https://www.econbiz.de/10012613652

Spectral analysis and the death of value investing

Bezuidenhout, John-Morgan; Van Vuuren, Gary - In: Cogent economics & finance 9 (2021) 1, pp. 1-23

This study explores the redundancy of the value premium by conducting a Fourier analysis. The results illustrate periodicity in the value premium and merges the Adaptive Market Hypothesis with the Efficient Market hypothesis. The value premium is considered to be redundant due to structural...

Persistent link: https://www.econbiz.de/10013184434

A risk-adjusted performance evaluation of US and EU hedge funds and associated equity markets over the 2007 - 2009 financial crisis

Van Heerden, Chris; Heymans, André; Van Vuuren, Gary; … - In: International business and economics research journal 13 (2014) 1, pp. 169-189

Persistent link: https://www.econbiz.de/10010251617

Toward the design of better equity benchmarks : rehabilitating the tangency portfolio from modern portfolio theory

Martellini, Lionel - In: The journal of portfolio management : a publication of … 34 (2007/08) 4, pp. 34-41

Persistent link: https://www.econbiz.de/10003769539

Optimal investment decisions when time-horizon is uncertain

Blanchet-Scalliet, Christophette; El Karoui, Nicole; … - In: Journal of mathematical economics 44 (2008) 11, pp. 1100-1113

Persistent link: https://www.econbiz.de/10003783826

Asset-liability management in private wealth management

Amenc, Noël; Martellini, Lionel; Milhau, Vincent; … - In: The journal of portfolio management : a publication of … 36 (2009/10) 1, pp. 100-120

Persistent link: https://www.econbiz.de/10003909597

Improved estimates of higher-order comoments and implications for portfolio selection

Martellini, Lionel; Ziemann, Voker - In: The review of financial studies 23 (2010) 4, pp. 1467-1502

Persistent link: https://www.econbiz.de/10003959855

Dynamic portfolio choice with parameter uncertainty and the economic value of analysts' recommendations

Cvitanić, Jakša; Lazrak, Ali; Martellini, Lionel; … - In: The review of financial studies 19 (2006) 4, pp. 1113-1156

Persistent link: https://www.econbiz.de/10003391743

A copula approach to value-at-risk estimation for fixed-income portfolios

Martellini, Lionel; Meyeredi, Jean-Christophe - In: The journal of fixed income 17 (2007) 1, pp. 5-15

Persistent link: https://www.econbiz.de/10003502367

Optimal hedge fund allocation with improved estimates for coskewness and cokurtosis parameters

Hitaj, Asmerilda; Martellini, Lionel; Zambruno, Giovanni - In: The journal of alternative investments 14 (2011/12) 3, pp. 6-16

Persistent link: https://www.econbiz.de/10009501188