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Essays on investement and consumption choice
Comon, Etienne - 2001
Persistent link: https://www.econbiz.de/10001717923
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Parallel optimization of sparse portfolios with AR-HMMs
Sipos, I. Róbert; Ceffer, Attila; Levendovszky, János - In: Computational economics 49 (2017) 4, pp. 563-578
Persistent link: https://www.econbiz.de/10011762135
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Data-driven distributionally robust CVaR portfolio optimization under a regime-switching ambiguity set
Pun, Chi Seng; Wang, Tianyu; Yan, Zhenzhen - In: Manufacturing & service operations management : M & SOM 25 (2023) 5, pp. 1779-1795
Persistent link: https://www.econbiz.de/10014383458
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Testing portfolio efficiency with conditioning information
Ferson, Wayne E.; Siegel, Andrew F. - In: The review of financial studies 22 (2009) 7, pp. 2735-2758
Persistent link: https://www.econbiz.de/10003866868
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Testing portfolio efficiency with conditioning information
Ferson, Wayne E.; Siegel, Andrew F. - 2006
Persistent link: https://www.econbiz.de/10003302411
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Essays on macroeconomics with microeconomic frictions
Luo, Yulei - 2005
Persistent link: https://www.econbiz.de/10003553452
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Betting Against Beta Under Incomplete Information
Campbell, T. Colin - 2018
We show analytically and empirically that the positive abnormal returns from Betting-Against-Beta (BAB) – a beta-neutral portfolio long in low beta stocks and short in high beta stocks – are consistent with market segmentation due to costly information acquisition, as in Merton (1987)....
Persistent link: https://www.econbiz.de/10012930642
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Bubble-crash experience and investment styles of mutual fund managers
Luo, Deming; Yao, Zhongwei; Zhu, Yanjian - In: The journal of corporate finance : contracting, … 76 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013494266
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Portfolio optimization in hedge funds by OGARCH and Markov switching model
Luo, Cuicui; Seco, Luis; Wu, Lin-Liang Bill - In: Omega : the international journal of management science 57 (2015), pp. 34-39
Persistent link: https://www.econbiz.de/10011416043
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Determinants of asymmetric return comovements of gold and other financial assets
Poshakwale, Sunil S.; Mandal, Anandadeep - In: International review of financial analysis 47 (2016), pp. 229-242
Persistent link: https://www.econbiz.de/10011624131