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Capacity and factor timing effects in active portfoliomanagement

Ciccotello, Conrad S.; Greene, Jason T.; Ling, Leng; … - In: Journal of financial markets 14 (2011) 2, pp. 277-300

Persistent link: https://www.econbiz.de/10009266961

Smart beta portfolio optimization

AlMahdi, Saud - In: Journal of mathematical finance 5 (2015) 2, pp. 202-211

Persistent link: https://www.econbiz.de/10011399006

A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management

Caporin, Massimiliano; Lisi, Francesco - In: The North American journal of economics and finance : a … 26 (2013), pp. 236-249

Persistent link: https://www.econbiz.de/10010365770

Modeling manager confidence in forecasted excess returns under active portfolio management

Birge, John R.; Chávez-Bedoya, Luis - In: The journal of asset management 15 (2014) 6, pp. 353-365

Persistent link: https://www.econbiz.de/10010476259

Reduction of estimation risk in optimal portfolio choice using redundant constraints

Chávez-Bedoya, Luis; Rosales, Francisco - In: International review of financial analysis 78 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10013255695

Underperformance of actively managed portfolios : some behavioral insights

Otuteye, Eben; Siddiquee, Mohammad - In: The journal of behavioral finance : a publication of … 21 (2020) 3, pp. 284-300

Persistent link: https://www.econbiz.de/10012287210

When carry goes bad : the magnitude, causes, and duration of currency carry unwinds

Melvin, Michael; Shand, Duncan - 2016

We analyze the worst currency carry loss episodes in recent decades, including causes, attribution by currency, timing, and the duration of carry drawdowns. To explore the determinants of the length of carry losses, a model of carry drawdown duration is estimated. We find evidence that drawdown...

Persistent link: https://www.econbiz.de/10011568722

Investment strategies when selecting sustainable firms

Shank, Todd M.; Shockey, Benjamin - In: Financial services review : the journal of individual … 25 (2016) 2, pp. 199-214

Persistent link: https://www.econbiz.de/10011688014

Interconnectedness risk and active portfolio management : the information-theoretic perspective

Baitinger, Eduard; Papenbrock, Jochen - In: The journal of network theory in finance 3 (2017) 4, pp. 25-47

Persistent link: https://www.econbiz.de/10012005415

Equally weighted strategic allocation and balanced funds in Brazil

Andrino, Daniel D.; Leal, Ricardo Pereira Câmara - In: Latin American business review : journal of the … 19 (2018) 1, pp. 23-53

Persistent link: https://www.econbiz.de/10011917783