Similar Search Results

Gutkevych, Svitlana; Vikhliaiev, Mykailo - In: Baltic Journal of Economic Studies 7 (2021) 3, pp. 82-87

Persistent link: https://www.econbiz.de/10012616020

What happens with more funds than stocks? Analysis of crowding in style factors and individual equities

Madhavan, Ananth Narayan; Sobczyk, Aleksander; Ang, Andrew - In: Journal of investment management : JOIM 19 (2021) 2, pp. 4-28

Persistent link: https://www.econbiz.de/10012815028

Jump, diffusion, and long-term volatility risks with incremental information in VIX assets

Chen, Sonnan; Gu, Yuchi - In: The journal of derivatives : JOD 28 (2021) 3, pp. 60-96

Persistent link: https://www.econbiz.de/10012486031

Time-series efficient factors

Ehsani, Sina; Linnainmaa, Juhani - 2020

Factors in prominent asset pricing models are positively autocorrelated. We derive a transformation that turns an … autocorrelated factor to a ``time-series efficient'' factor. Time-series efficient factors earn significantly higher Sharpe ratios … than the original factors and contain all the information found in the original factors. Momentum strategies profit from …

Persistent link: https://www.econbiz.de/10012244867

Factor-based optimisation and the creation/redemption mechanism of fixed income exchange-traded funds

Golub, Bennett W.; Ferconi, Maurizio; Madhavan, Ananth … - In: International journal of financial engineering and risk … 2 (2018) 4, pp. 335-350

Persistent link: https://www.econbiz.de/10012000037

Bill Gross' alpha : the king versus the oracle

Brown, Aaron; Dewey, Richard - In: Journal of investment management : JOIM 17 (2019) 3, pp. 65-81

Persistent link: https://www.econbiz.de/10012111184

Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios

Bruneau, Catherine; Flageollet, Alexis; Peng, Zhun - 2020

Persistent link: https://www.econbiz.de/10012165556

Empirical investigation on portfolio decision making of individual investors

Neeraja, B.; Sobanraja, P. - In: Journal of Contemporary Issues in Business and Government 26 (2020) 2, pp. 749-756

Persistent link: https://www.econbiz.de/10012533780

Portfolio tilts using views on macroeconomic regimes

Elkamhi, Redouane; Lee, Jacky S. H.; Salerno, Marco - 2021

Long-term investors rebalance their portfolios given their views on the investment landscape. Portfolio tilting is often implemented using investors' views on point estimates of asset expected returns which are notoriously difficult to estimate and lead to unstable portfolio weights. We avoid...

Persistent link: https://www.econbiz.de/10012595452

Portfolio volatility spillover

Konstantinov, Gueorgui; Fabozzi, Frank J. - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-39

Persistent link: https://www.econbiz.de/10013371157