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Persistent leverage in portfolio sorts : an artifact of measurement error?

Mueller, Michael - 2014

that trade-off theory-based empirical proxies that are observed with error offer an alternative explanation for the …

Persistent link: https://www.econbiz.de/10010441180

Inferences from portfolio theory and efficient market hypothesis to the impact of social media on sovereign debt : Colombia, Ecuador, and Peru

Serrano-Monge, Esteban - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-16

For three countries of similar economic characteristics, I ratify previous studies of the impact of fundamental macroeconomic and foreign exchange variables influencing country risk, as captured by the Emerging Market Bond Index (EMBI). I contribute to existing research, first by calculating a...

Persistent link: https://www.econbiz.de/10013168980

Dynamic rebalancing portfolio models with analyses of investor sentiment

Yu, Jing-Rung; Chiou, W. Paul; Hung, Cing-Hung; Dong, … - In: International review of economics & finance : IREF 77 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013288009

Measuring portfolio credit risk correctly : why parameter uncertainty matters

Tarashev, Nikola A. - 2009

Persistent link: https://www.econbiz.de/10003847625

Measuring portfolio credit risk correctly : why parameter uncertainty matters

Tarashev, Nikola A. - In: Journal of banking & finance 34 (2010) 9, pp. 2065-2076

Persistent link: https://www.econbiz.de/10008732113

Sampling error and double shrinkage estimation of minimum variance portfolios

Candelon, Bertrand; Hurlin, Christophe; Tokpavi, Sessi - 2011

Persistent link: https://www.econbiz.de/10008840679

Dynamic hedge fund style analysis with errors-in-variables

Bodson, Laurent; Coën, Alain; Hübner, Georges - In: The journal of financial research 33 (2010) 3, pp. 201-221

Persistent link: https://www.econbiz.de/10008939355

Aktives Portfoliomanagement auf Basis von Fehlbewertungen in den Renditeerwartungen

Stotz, Olaf - 2004

Mit einem aktiven Portfoliomanagement verfolgen Investoren das Ziel, überdurchschnittliche Portfoliorenditen zu erzielen. Dieses Ziel wird dann erreicht, wenn Börsenkurse von ihren gerechtfertigten Werten abweichen. -- In dem vorliegenden Buch wird ein Ansatz für Aktien vorgestellt, mit dem...

Persistent link: https://www.econbiz.de/10011402186

Rationality and momentum in real estate investment forecasts

Papastamos, Dēmētrēs; Muzakēs, Phōtēs; Stevenson, … - 2014

Persistent link: https://www.econbiz.de/10010387939

Robust tracking error portfolio selection with worst-case downside risk measures

Ling, Aifan; Sun, Jie; Yang, Xiaoguang - In: Journal of economic dynamics & control 39 (2014), pp. 178-207

Persistent link: https://www.econbiz.de/10010388754

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