Showing 1 - 10 of 18,834
We construct portfolios based on characteristic weights and develop a novel way to measure capacity of these portfolios to absorb capital. Our estimates suggest that portfolio capacity is the highest for fundamental-weights, whereas portfolios based on momentum, equal risk budget, and equal...
Persistent link: https://www.econbiz.de/10013088558
Persistent link: https://www.econbiz.de/10011327479
Persistent link: https://www.econbiz.de/10011543798
Persistent link: https://www.econbiz.de/10012514170
Persistent link: https://www.econbiz.de/10012424371
Persistent link: https://www.econbiz.de/10013366412
between time series' structural breaks. Then, we build on the classical portfolio optimization theory of Markowitz and use …
Persistent link: https://www.econbiz.de/10014281489
Persistent link: https://www.econbiz.de/10003732336
Persistent link: https://www.econbiz.de/10008839764
Persistent link: https://www.econbiz.de/10003965691