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Portfolio diversification and excess comovement in commodity prices

Garrett, Ian; Taylor, Nicholas - In: The Manchester School 69 (2001) 4, pp. 351-368

Persistent link: https://www.econbiz.de/10001601622

The economic significance of conditioning information on portfolio efficiency in the presence of costly short-selling

Taylor, Nicholas - In: The journal of financial research 35 (2012) 1, pp. 115-135

Persistent link: https://www.econbiz.de/10009531303

Managed portfolio performance and transaction costs

Taylor, Nicholas - In: Applied economics letters 22 (2015) 4/6, pp. 272-280

Persistent link: https://www.econbiz.de/10010506781

Common trends in emerging equity markets

Garrett, Ian; Spyrou, Spyros I. - 1997

Persistent link: https://www.econbiz.de/10000989612

A comparison of static and dynamic portfolio policies

Wang, Jianshen; Taylor, Nicholas - In: International review of financial analysis 55 (2018), pp. 111-127

Persistent link: https://www.econbiz.de/10012006174

An international perspective on risk management quality

Mira, Svetlana; Taylor, Nicholas - In: European financial management : the journal of the … 19 (2013) 5, pp. 935-955

Persistent link: https://www.econbiz.de/10010237350

Portfolio Return Prediction and Risk Price Heterogeneity

Taylor, Nicholas - 2023

A model of portfolio return dynamics is considered in which the price of risk is permitted to be heterogeneous. In doing this, a novel method is proposed that delivers improved out-of-sample forecasts of portfolio returns. The main innovation is the use of a set of predictors that account for...

Persistent link: https://www.econbiz.de/10014350699