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Dynamic correlation structure and security risk

Vozlyublennaia, Nadia; Meshcheryakov, Artem - In: Journal of economics & business 73 (2014), pp. 48-64

Persistent link: https://www.econbiz.de/10010421625

Does idiosyncratic risk matter for individual securities?

Vozlyublennaia, Nadia - In: Financial management 41 (2012) 3, pp. 555-590

Persistent link: https://www.econbiz.de/10009658319

Investor attention, index performance, and return predictability

Vozlyublennaia, Nadia - In: Journal of banking & finance 41 (2014), pp. 17-35

Persistent link: https://www.econbiz.de/10010407999

When do characteristics-sorted factors mechanically explain returns?

Murtazashvili, Irina; Vozlyublennaia, Nadia - In: Journal of international financial markets, … 25 (2013), pp. 119-143

Persistent link: https://www.econbiz.de/10009762798

Limits to mutual funds' ability to rely on mean/variance optimization

Karagiannidis, Iordanis; Vozlyublennaia, Nadia - In: Journal of empirical finance 37 (2016), pp. 282-292

Persistent link: https://www.econbiz.de/10011663061

Limits to Mutual Funds' Ability to Rely on Mean/Variance Optimization

Karagiannidis, Iordanis - 2016

Our evidence suggest that estimation error in the required statistics is an important factor inhibiting investors' ability to rely on mean/variance analysis. We compare the returns reported by mutual funds to the returns obtained from a mean/variance optimized portfolio of fund holdings. The...

Persistent link: https://www.econbiz.de/10012999288