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A multiobjective model for passive portfolio management : an application on the S&P 100 index
García, Fernando; Guijarro, Francisco; Moya, Ismael - In: Journal of business economics and management 14 (2013) 4, pp. 758-775
Persistent link: https://www.econbiz.de/10010188972
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The information content of high-frequency data for estimating equity return models and forecasting risk
Dobrev, Dobrislav; Szerszen, Pawel J. - 2010
Persistent link: https://www.econbiz.de/10008655786
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The information content of high-frequency data for estimating equity return models and forecasting risk
Dobrev, Dobrislav; Szerszen, Pawel - 2010
Persistent link: https://www.econbiz.de/10009550957
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Multifactor models and their consistency with the ICAPM
Maio, Paulo; Santa-Clara, Pedro - In: Journal of financial economics 106 (2012) 3, pp. 586-613
Persistent link: https://www.econbiz.de/10009710158
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Factor high-frequency based volatility (HEAVY) models
Sheppard, Kevin; Xu, Wen - 2014
Persistent link: https://www.econbiz.de/10010365630
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Tangent portfolio weights without explicitly specified expected returns
Glabadanidis, Paskalis - In: The journal of asset management 15 (2014) 3, pp. 177-190
Persistent link: https://www.econbiz.de/10010415936
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Generalized risk premia
Schneider, Paul - 2014
order and it nests cross-sectional asset pricing models such as the CAPM. An empirical study in the US index market compares …
Persistent link: https://www.econbiz.de/10010412884
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Do realized skewness and kurtosis predict the cross-section of equity returns?
Amaya, Diego (contributor) - 2011
Persistent link: https://www.econbiz.de/10009385117
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Liquidity and asset prices : an empirical investigation of the nordic stock markets
Butt, Hilal Anwar; Virk, Nader Shahzad - In: European financial management : the journal of the … 21 (2015) 4, pp. 672-705
Persistent link: https://www.econbiz.de/10011408519