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Stock return serial dependence and out-of-sample portfolio performance

DeMiguel, Victor; Nogales, Francisco J.; Uppal, Raman - In: The review of financial studies 27 (2014) 4, pp. 1031-1073

Persistent link: https://www.econbiz.de/10010370827

A generalized approach to portfolio optimization : improving performance by constraining portfolio norms

DeMiguel, Victor; Garlappi, Lorenzo; Nogales, Francisco J. - In: Management science : journal of the Institute for … 55 (2009) 5, pp. 798-812

Persistent link: https://www.econbiz.de/10003859991

Equilibrium portfolio strategies in the presence of sentiment risk and excess volatility

Dumas, Bernard (contributor); Kurshev, Alexander (contributor) - 2007

Persistent link: https://www.econbiz.de/10003638366

The equity risk premium and the riskfree rate in an economy with borrowing constraints

Kogan, Leonid; Makarov, Igor; Uppal, Raman - In: Mathematics and financial economics 1 (2007) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10003576938

Equilibrium portfolio strategies in the presence of sentiment risk and excess volatility

Dumas, Bernard; Kurshev, Alexander; Uppal, Raman - 2007

Persistent link: https://www.econbiz.de/10003556246

Equilibrium portfolio strategies in the presence of sentiment risk and excess volatility

Dumas, Bernard; Kurshev, Alexander; Uppal, Raman - 2007

Persistent link: https://www.econbiz.de/10003549572

How inefficient is the 1/N asset-allocation strategy?

DeMiguel, Victor; Garlappi, Lorenzo; Uppal, Raman - 2005

Persistent link: https://www.econbiz.de/10003025635

Where Experience Matters : Asset Allocation and Asset Pricing with Opaque and Illiquid Assets

Buss, Adrian - 2015

Alternative assets, such as private equity, hedge funds, and real assets, are illiquid and opaque, and thus pose a challenge to traditional models of asset allocation. In this paper, we study asset allocation and asset pricing in a general-equilibrium model with liquid assets and an alternative...

Persistent link: https://www.econbiz.de/10013031476

Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies

Kogan, Leonid - 2001

exchange economy with multiple agents who differ in their degree of risk aversion and face borrowing constraints. We … volatility of stock returns increases with the cross-sectional dispersion of risk aversion, with the cross-sectional dispersion … constraint lowers the risk-free interest rate and raises the equity premium in equilibrium …

Persistent link: https://www.econbiz.de/10012470107

A transaction-cost perspective on the multitude of firm characteristics

DeMiguel, Victor; Martín-Utrera, Alberto; Nogales, … - In: The review of financial studies 33 (2020) 5, pp. 2180-2222

Persistent link: https://www.econbiz.de/10012244743