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Human Capital and Household Portfolio Choice : The Importance of the Persistence of Labor Income Shocks
Shim, Kyung Hwan - 2015
Using longitudinal data from PSID, we show the positive relation between labor income and the equity share of financial wealth is stronger for those who have a higher persistence in shocks to permanent labor income. The results support the hypothesis that the cross sectional variation in...
Persistent link: https://www.econbiz.de/10013024082
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Economic policy uncertainty and stock return momentum
Goel, Garima; Dash, Saumya Ranjan; Mata, Mário Nuno; … - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-17
This paper investigates the relationship between economic policy uncertainty (EPU), an index capturing newspaper …
Persistent link: https://www.econbiz.de/10012520194
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Deep time series forecasting for enhanced index tracking
Kim, Saejoon - In: Applied economics 53 (2021) 17, pp. 1916-1934
Persistent link: https://www.econbiz.de/10012500905
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Aggregation von drei Dimensionen des Downside-Risikos durch einen modifizierten Sen-Index
Eggers, Frank; Pfingsten, Andreas; Rieso, Sven - In: Operations research proceedings 1999 : selected papers …, (pp. 311-316). 2000
Persistent link: https://www.econbiz.de/10001481282
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The properties of downside risk measures
Breitmeyer, Carsten; Hakenes, Hendrik; Pfingsten, Andreas - 2001
Persistent link: https://www.econbiz.de/10001647293
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Active indexing : sophisticated strategies with index vehicles
Schoenfeld, Steven A.; Ginis, Robert; Nordenfelt, Niklas - In: Active index investing : maximizing portfolio …, (pp. 339-360). 2004
Persistent link: https://www.econbiz.de/10003333547
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Hedgefonds : Entmystifizierung einer Anlagekategorie
Kaiser, Dieter G. - 2009 - 2. Auflage
Persistent link: https://www.econbiz.de/10003838776
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Constant rebalanced portfolios and side-information
Fagiuoli, E.; Stella, F.; Ventura, A. - In: Quantitative fund management, (pp. 85-106). 2009
Persistent link: https://www.econbiz.de/10003796947
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Efficient replication of factor retturns : theory and applications
Melas, Dimitris; Suryanarayanan, Raghu; Cavaglia, Stefano - In: The journal of portfolio management : a publication of … 36 (2009/10) 2, pp. 39-51
Persistent link: https://www.econbiz.de/10003966450
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Strategic trading by index funds and liquidity provision around S&P 500 index additions
Green, Tracy Clifton; Jame, Russell - In: Journal of financial markets 14 (2011) 4, pp. 605-624
Persistent link: https://www.econbiz.de/10009260942