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Equity style allocation : a nonparametric approach
Subbiah, Mohan; Fabozzi, Frank J. - In: The journal of asset management 17 (2016) 3, pp. 141-164
Persistent link: https://www.econbiz.de/10011485142
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Are investors' portfolios enhanced by incorporating CTA index funds?
Ni, Yensen; Huang, Paoyu - In: Applied economics letters 21 (2014) 1/3, pp. 43-46
Persistent link: https://www.econbiz.de/10010238319
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On the Optimization of a Fund of Funds. The Search of an Improved Estimator for the Covariance Matrix
Sanchez Hernandez, Manuel - 2014
This dissertation studies the Markowitz model and its main problems, presents different alternatives to overcome them, and compare its performance through an empirical test with the historical closing prices of a set of funds. The main concussions of the empirical analysis are: (1) All the...
Persistent link: https://www.econbiz.de/10013056537
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Measuring and Comparing the Risk Adjusted Performance, the Correlation and the Covariance of Global Macro Funds and Funds of Funds
Guirguis, Michel - 2021
In this article, we measure and compare the risk adjusted performance, the correlation and the covariance of global …. We find strong negative linear correlation between funds of funds and global macro hedge funds. The covariance matrix is …
Persistent link: https://www.econbiz.de/10013232487
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Measuring investment skill in multi-asset strategies : an empirical study of the information coefficient as weighted rank correlation
Xia, Steve Q.; Simonian, Joseph - In: The journal of portfolio management : JPM 47 (2021) 4, pp. 135-144
Persistent link: https://www.econbiz.de/10012486055
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Risk measures in finance : congruent or contrasting?
Lalwani, Vaibhav; Bedi, Prateek; Shankar, Devesh - In: Business analyst : a refereed journal of Shri Ram … 39 (2018) 1, pp. 165-180
Persistent link: https://www.econbiz.de/10012391033
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Modern portfolio diversification using iShares : correlation and return gaps
Delcoure, Natalya - In: Investment management and financial innovations 8 (2011) 3, pp. 9-27
Persistent link: https://www.econbiz.de/10009422209
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Liquidity, style investing and excess comovement of exchange-traded fund returns
Broman, Markus S. - In: Journal of financial markets 30 (2016), pp. 27-53
Persistent link: https://www.econbiz.de/10011722252
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Institutions of collective investment in Ukraine : scale and consequences of investment dysfunction
Šeludʹko, Natalija M.; Šyškov, Stanislav Je. - In: Economy and forecasting : scientific journal (2020) 2, pp. 91-104
Persistent link: https://www.econbiz.de/10013162781
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Rebalancing of exchange traded funds in stock market using option trading strategies
Elegeti, Vinaykumar - In: Ekonomia i prawo 20 (2021) 3, pp. 497-511
Persistent link: https://www.econbiz.de/10012876161