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The circle of investment : connecting the dots of the portfolio management cycle ... under the purview of the uncertainty principle of the social sciences

Kashyap, Ravi - In: International journal of economics and finance 6 (2014) 5, pp. 244-263

Persistent link: https://www.econbiz.de/10010363431

Portfolio Weighting Methods : Naïve vs. Scientific Diversification

Mendes, António Marques - 2019

In our study we found that picking the right weighting method at times doubles portfolio returns. But, paradoxically, we found no significant differences between returns achieved through naïve and scientific weighting methods. Nevertheless, we dismissed the hypothesis that portfolio weightings...

Persistent link: https://www.econbiz.de/10012861078

Demystifying Rebalancing Premium : A Methodological Path to Risk Premia Engineering

Dubikovsky, Vladislav - 2015

Volatility is usually considered as a synonym for risk. Mainstream financial theory states that higher portfolio … framework that encompasses various investment styles and portfolio construction methodologies. Modern Portfolio Theory is a one … theory. We show that Markowitz portfolios and Warren Buffett's investment style are valid special cases of optimal growth …

Persistent link: https://www.econbiz.de/10013018815

Modern financial market theory : a critique based on the logic of human action

Polleit, Thorsten - In: Credit and capital markets : Kredit und Kapital 54 (2021) 3, pp. 447-467

Persistent link: https://www.econbiz.de/10012803295

Non-Standard Errors in Portfolio Sorts

Walter, Dominik; Weber, Rüdiger; Weiss, Patrick - 2022

We study the size and drivers of non-standard errors (Menkveld et al., 2021) in portfolio sorts across 14 common methodological decision nodes and 40 sorting variables. These non-standard errors range between 0.05 and 0.26 percent and are, on average, larger than standard errors. Supposedly...

Persistent link: https://www.econbiz.de/10013404257

Quantitative Energy Finance : Modeling, Pricing, and Hedging in Energy and Commodity Markets

Benth, Fred Espen - 2014

A review of optimal investment rules in electricity generation -- A Survey of Commodity Markets and Structural Models for Electricity Prices -- Fourier based valuation methods in mathematical finance -- Mathematics of Swing Options: A Survey -- Inference for Markov-regime switching models of...

Persistent link: https://www.econbiz.de/10014016908

Stock valuation for investment and corporate decisions

Biçer, Batur - 2006

Persistent link: https://www.econbiz.de/10003971735

Expanding AMJ's manuscript portfolio : research methods articles designed to advance theory and span boundaries : from the editors

Gruber, Marc; Bliese, Paul - In: Academy of Management journal : AMJ 67 (2024) 1, pp. 1-4

Persistent link: https://www.econbiz.de/10014507993

Non-standard errors in asset pricing : mind your sorts

Soebhag, Amar; Vliet, Bart van; Verwijmeren, Patrick - In: Journal of empirical finance 78 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015101621

Non-standard errors in carbon premia

Beyer, Victor; Bauckloh, Michael Tobias - 2024

This research investigates the influence of methodological choices in portfolio sorts on the size of the carbon premium. By analyzing more than 100,000 methodological paths, we find that variations in the construction of brown-minus-green portfolios create substantial non-standard errors. From...

Persistent link: https://www.econbiz.de/10014631855