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Momentum and mean reversion in strategic asset allocation

Koijen, Ralph S. J.; Rodríguez, Juan Carlos; Sbuelz, … - In: Management science : journal of the Institute for … 55 (2009) 7, pp. 1199-1213

Persistent link: https://www.econbiz.de/10003864233

Dynamic asset allocation with default and systemic risks

Sbuelz, Alessandro - In: Handbook of recent advances in commodity and financial …, (pp. 241-250). 2018

Persistent link: https://www.econbiz.de/10011898643

The cross-section of managerial ability, incentives, and risk preferences

Koijen, Ralph S. J. - In: The journal of finance : the journal of the American … 69 (2014) 3, pp. 1051-1098

Persistent link: https://www.econbiz.de/10010373347

Reaching nirvana with a defaultable asset?

Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro - In: Decisions in economics and finance : DEF ; a journal of … 40 (2017) 1/2, pp. 31-52

Persistent link: https://www.econbiz.de/10011997092

Optimal portfolio choice with annuitization

Koijen, Ralph S. J. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003377022

The cross-section and time series of stock and bond returns

Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - 2010

"We propose an arbitrage-free stochastic discount factor (SDF) model that jointly prices the cross-section of returns on portfolios of stocks sorted on book-to-market dimension, the cross-section of government bonds sorted by maturity, the dynamics of bond yields, and time series variation in...

Persistent link: https://www.econbiz.de/10003933912