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Modeling of factors affecting investment behavior during the pandemic : a grey-DEMATEL approach
Ritika; Himanshu; Kishor, Nawal - In: Journal of financial services marketing 28 (2023) 2, pp. 222-235
Persistent link: https://www.econbiz.de/10014326855
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Variable tradeoff between diversification and volatility on risk-averse approaches to crypto allocation for Indian retail investors
Agarwal, Ajay - In: Advances in Management Research : Emerging Challenges …, (pp. 210-228). 2022
Persistent link: https://www.econbiz.de/10014434884
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Asymetric Dependence in Finance : Diversification, Correlation and Portfolio Management in Market Downturns
Alcock, Jamie (ed.); Satchell, Stephen (ed.) - 2018
-- References -- Further Reading -- Chapter 4: Misspecification in an Asymmetrically Dependent World: Implications for Volatility …
Persistent link: https://www.econbiz.de/10011841506
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Asymmetric dependence in finance : diversification, correlation and portfolio management in market downturns
Alcock, Jamie (ed.); Satchell, Stephen (ed.) - 2018
"Asymmetric Dependence (hereafter, AD) is usually thought of as a cross-sectional phenomenon. Andrew Patton describes AD as "stock returns appear to be more highly correlated during market downturns than during market upturns." (Patton, 2004) Thus at a point in time when the market return is...
Persistent link: https://www.econbiz.de/10011761934
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The degree of home bias in the holding of share portfolio : case of American investors
Chniguir, Mounira; Sghaier, Asma; Soufeljil, Mohamed; … - In: International journal of sustainable economies … 6 (2017) 3, pp. 10-25
Persistent link: https://www.econbiz.de/10011734713
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Value investing versus other investment strategies : a volatility spillover approach and portfolio hedging strategies for investors
Papathanasiou, Spyros; Dokas, Ioannis; Koutsokostas, Drosos - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-11
Persistent link: https://www.econbiz.de/10013538949
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Drawdown risk in mutual funds performance
Kumaran, Sunitha - In: Journal of finance and investment analysis 2 (2013) 2, pp. 89-106
. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have … several tools to measure downside volatility, including the lower partial moment and the maximum drawdown. The performance … Index is a volatility measure that only captures continuous downside movements in share price, and ignores upside volatility …
Persistent link: https://www.econbiz.de/10009746020
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Risk-adjusted time series momentum
Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014
based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT … in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show …
Persistent link: https://www.econbiz.de/10011293745
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How to beat the machines before they beat you
Bhansali, Vineer - In: Journal of investment management : JOIM 17 (2019) 3, pp. 21-26
Persistent link: https://www.econbiz.de/10012111008
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Long run returns predictability and volatility with moving averages
Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18
This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...
Persistent link: https://www.econbiz.de/10011906234