Showing 1 - 10 of 14,286
Suppose a fund manager uses predictors in changing portfolio allocations over time. How does predictability translate into portfolio decisions? To answer this question we derive a new model within the Bayesian framework, where managers are assumed to modulate the systematic risk in part by...
Persistent link: https://www.econbiz.de/10003749945
Persistent link: https://www.econbiz.de/10015049999
Persistent link: https://www.econbiz.de/10003791365
Persistent link: https://www.econbiz.de/10003793593
We propose a rational theory of momentum and reversal based on delegated portfolio management. A competitive investor …
Persistent link: https://www.econbiz.de/10003871511
We propose a rational theory of momentum and reversal based on delegated portfolio management. Flows between investment …
Persistent link: https://www.econbiz.de/10008823442
Persistent link: https://www.econbiz.de/10011377378
Persistent link: https://www.econbiz.de/10009752194
Persistent link: https://www.econbiz.de/10001226998
Persistent link: https://www.econbiz.de/10012874866