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Does diversification drive down risk-adjusted returns? : a quantile regression approach

Shim, Jeungbo - In: Asia-Pacific journal of risk and insurance : APJRI 11 (2017) 2, pp. 1-32

Persistent link: https://www.econbiz.de/10011671263

Diversification and risk-adjusted performance : a quantile regression approach

Lee, Bong-soo; Li, Ming-yuan Leon - In: Journal of banking & finance 36 (2012) 7, pp. 2157-2173

Persistent link: https://www.econbiz.de/10009629612

Combining alphas via bounded regression

Kakushadze, Zura - In: Risks : open access journal 3 (2015) 4, pp. 474-490

produces alpha weights with insufficient diversification and/or skewed distribution against, e.g., turnover. This can be …

Persistent link: https://www.econbiz.de/10011402659

Bayesian nonparametric measurement of factor betas and clustering with application to hedge fund returns

Garay, Urbi; Horst, Enrique ter; Molina, German; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-23

We define a dynamic and self-adjusting mixture of Gaussian Graphical Models to cluster financial returns, and provide a …

Persistent link: https://www.econbiz.de/10011505836

Hedge fund return, volatility asymmetry, and systemic effects : a higher-moment factor-EGARCH model

Elyasiani, Elyas; Mansur, Iqbal - In: Journal of financial stability 28 (2017), pp. 49-65

Persistent link: https://www.econbiz.de/10011825507

Virtual currency, tangible return : portfolio diversification with bitcoin

Brière, Marie; Oosterlinck, Kim; Szafarz, Ariane - In: The journal of asset management 16 (2015) 6, pp. 365-373

Persistent link: https://www.econbiz.de/10011416624

Strategic informed trades, diversification, and expected returns

Caskey, Judson; Hughes, John S.; Liu, Jun - In: The accounting review : a publication of the American … 90 (2015) 5, pp. 1811-1837

Persistent link: https://www.econbiz.de/10011375825

Is more less? : propensity to diversify via M&A and market reactions

Hornstein, Abigail S.; Nguyen, Zachary - 2014

Persistent link: https://www.econbiz.de/10010526917

The performance of private equity funds : does diversification matter?

Lossen, Ulrich - 2006

This paper is the first systematic analysis of the impact of diversification on the performance of private equity funds …. A unique data set allows the exact evaluation of diversification across the dimensions financing stages, industries, and … countries. Very different levels of diversification can be observed across sample funds. While some funds are highly specialized …

Persistent link: https://www.econbiz.de/10010383033

An empirical study on the characteristics of K-REITs

Hyun, Jung Won; Park, Sang Beom - In: International journal of economics and finance 8 (2016) 6, pp. 231-236

Persistent link: https://www.econbiz.de/10011495043

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