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One-sided performance measures under Gram-Charlier distributions
León Valle, Ángel Manuel; Moreno, Manuel - In: Journal of banking & finance 74 (2017), pp. 38-50
Persistent link: https://www.econbiz.de/10011793629
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Equity diversification in two Chinese share markets : nonparametric cointegration test
Chang, Tsangyao; Zhang, Yichun; Tzeng, Han-Wen - In: International journal of economics 11 (2017) 1, pp. 1-7
Persistent link: https://www.econbiz.de/10011708554
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On local times of ranked continuous semimartingales : application to portfolio generating functions
Ghomrasni, Raouf (contributor) - 2005
Persistent link: https://www.econbiz.de/10003323022
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Validation of positive quadrant dependence
Ledwina, Teresa; Wyłupek, Grzegorz - In: Insurance / Mathematics & economics 56 (2014), pp. 38-47
Persistent link: https://www.econbiz.de/10010385038
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Non-parametric momentum based on ranks and signs
Chen, Tsung-Yu; Chou, Pin-huang; Ko, Kuan-Cheng; Rhee, … - In: Journal of empirical finance 60 (2021), pp. 94-109
Persistent link: https://www.econbiz.de/10012692984
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Infinite portfolio strategies
LeRoy, Stephen F. - In: Contemporary economics 6 (2012) 4, pp. 54-60
In continuous-time stochastic calculus a limit in probability is used to extend the definition of the stochastic integral to the case where the integrand is not square-integrable at the endpoint of the time interval under consideration. When the extension is applied to portfolio strategies,...
Persistent link: https://www.econbiz.de/10009768154
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A note on a new weighted idiosyncratic risk measure
Jan, Yin-Ching - In: International journal of financial research 5 (2014) 3, pp. 194-198
Persistent link: https://www.econbiz.de/10010458525
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Why a diversified portfolio should include African assets
Alagidede, Paul; Panagiōtidēs, Theodōros; Zhang, Xu - 2010
We employ parametric and non-parametric cointegration to investigate the extent of integration between African stock … cointegration approaches confirm the latter through recursive estimation. The implication is that global market movements may have … international investors. -- Correlation ; Long-run correlation ; Cointegration ; Non-parametric cointegration; African Stock Markets …
Persistent link: https://www.econbiz.de/10008736105
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Why a diversified portfolio should include African assets
Alagidede, Paul; Panagiōtidēs, Theodōros; Zhang, Xu - In: Applied economics letters 18 (2011) 13/15, pp. 1333-1340
Persistent link: https://www.econbiz.de/10009348029
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International equity diversification between Taiwan and its major trading partners : nonparametric cointegration test
Chang, Tsangyao; Yu, Chin-Ping - In: Economics & finance notes 6 (2017) 1, pp. 103-113
Persistent link: https://www.econbiz.de/10011773670