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Covariance averaging for improved estimation and portfolio allocation
Papailias, Fotis; Thomakos, Dimitrios D. - In: Financial markets and portfolio management 29 (2015) 1, pp. 31-59
Persistent link: https://www.econbiz.de/10010500749
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Large-scale minimum variance portfolio allocation using double regularization
Bian, Zhicun; Liao, Yin; O'Neill, Michael; Shi, Jing; … - In: Journal of economic dynamics & control 116 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012503240
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Long run returns predictability and volatility with moving averages
Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18
This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...
Persistent link: https://www.econbiz.de/10011906234
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A sector strategy from the Fama and French model
Ferruz Agudo, Luis; Badía, Guillermo - In: Applied economics letters 22 (2015) 16/18, pp. 1511-1514
Persistent link: https://www.econbiz.de/10011380411
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Strategies of investing in the construction sector based on market anomalies occurring at Warsaw Stock Exchange
Kutryb, Tomasz - In: Olsztyn economic journal 9 (2014) 1, pp. 71-86
Persistent link: https://www.econbiz.de/10011327802
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Skilled monkey or unlucky manager?
Vermorken, Maximilian; Gendebien, Marc; Vermorken, Alphons - In: The journal of asset management 14 (2013) 5, pp. 267-277
Persistent link: https://www.econbiz.de/10010237948
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The sophisticated and the simple: the profitability of contrarian strategies from a portfolio manager's perspective
Giamouridis, Daniel; Montagu, Chris - In: European financial management : the journal of the … 20 (2014) 1, pp. 152-178
Persistent link: https://www.econbiz.de/10010248853
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On the persistence of selectivity and market timing skills in hedge funds
Muteba Mwamba, John - In: International business and economics research journal 12 (2013) 12, pp. 1575-1587
Persistent link: https://www.econbiz.de/10010248962
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A quantitative approach to Faber's tactical asset allocation
Marmi, Stefano; Pacati, Claudio; Renò, Roberto; Risso, … - In: International journal of computational economics and … 3 (2013) 1/2, pp. 91-101
Persistent link: https://www.econbiz.de/10010250319
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A fundamental bond index including solvency criteria
Jong, Marielle de; Stagnol, Lauren - In: The journal of asset management 17 (2016) 4, pp. 280-294
Persistent link: https://www.econbiz.de/10011504263