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Performance measurement of crypto funds

Dombrowski, Niclas; Drobetz, Wolfgang; Momtaz, Paul - In: Economics letters 228 (2023), pp. 1-6

Persistent link: https://www.econbiz.de/10014451146

How to avoid the pitfalls in portfolio optimization? : Putting the Black-Litterman approach at work

Drobetz, Wolfgang - In: Financial markets and portfolio management 15 (2001) 1, pp. 59-75

Persistent link: https://www.econbiz.de/10001683834

Performance Measurement of Crypto Funds

Dombrowski, Niclas; Drobetz, Wolfgang; Momtaz, Paul P. - 2023

Crypto funds (CFs) are a growing intermediary in cryptocurrency markets. We evaluate CF performance using metrics based on alphas, value at risk, lower partial moments, and maximum drawdown. The performance of actively managed CFs is heterogenous: While the average fund in our sample does not...

Persistent link: https://www.econbiz.de/10014351272

Volatility bounds for stochastic discount factors on global stock markets

Drobetz, Wolfgang - In: Schmollers Jahrbuch : journal of contextual economics 123 (2003) 4, pp. 471-500

Persistent link: https://www.econbiz.de/10001948825

Global asset allocation : new methods and applications

Zimmermann, Heinz; Drobetz, Wolfgang; Oertmann, Peter - 2003

Persistent link: https://www.econbiz.de/10001678987

Heterogeneity in asset allocation decisions : empirical evidence from Switzerland

Drobetz, Wolfgang; Kugler, Peter; Wanzenried, Gabrielle; … - In: International review of financial analysis 18 (2009) 1/2, pp. 84-93

Persistent link: https://www.econbiz.de/10003850330

Fixed-Income Hedge-Funds-Strategien in Bondportfolios

Drobetz, Wolfgang; Füss, Roland; Stein, Michael - In: Bank-Archiv : Zeitschrift für das gesamte Bank- und … 58 (2010) 2, pp. 103-110

Persistent link: https://www.econbiz.de/10003934149

Cross-country determinants of institutional investors' investment horizons

Döring, Simon; Drobetz, Wolfgang; El Ghoul, Sadok; … - In: Finance research letters 39 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012805449

Empirical asset pricing via machine learning : evidence from the European stock market

Drobetz, Wolfgang; Otto, Tizian - In: The journal of asset management : a major new, … 22 (2021) 7, pp. 507-538

Persistent link: https://www.econbiz.de/10012793590

The role of catastrophe bonds in an international multi-asset portfolio : diversifier, hedge, or safe haven?

Drobetz, Wolfgang; Schröder, Henning; Tegtmeier, Lars - In: Finance research letters 33 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012430896