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Resolving the puzzling intertemporal relation between the market risk premium and conditional market variance : a two-factor approach

Scruggs, John T. - In: The journal of finance : the journal of the American … 53 (1998) 2, pp. 575-603

Persistent link: https://www.econbiz.de/10001240513

Tangent portfolio weights without explicitly specified expected returns

Glabadanidis, Paskalis - In: The journal of asset management 15 (2014) 3, pp. 177-190

Persistent link: https://www.econbiz.de/10010415936

Maximizing excess return per unit variance : a novel investment management objective

Glabadanidis, Paskalis - In: The journal of asset management 17 (2016) 7, pp. 486-501

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Average drawdown risk and capital asset pricing

Tavakoli Baghdadabad, Mohammad Reza; Glabadanidis, Paskalis - In: Review of Pacific Basin financial markets and policies 16 (2013) 4, pp. 1-21

Persistent link: https://www.econbiz.de/10010241626

What Difference Fat Tails Make : A Bayesian MCMC Estimation of Empirical Asset Pricing Models

Glabadanidis, Paskalis - 2017

This chapter presents an empirical application of Bayesian MCMC estimation to the three main asset pricing models in use in the financial econometrics literature, namely, the Capital Asset Pricing Model (CAPM), the Fama-French (1992) three-factor model, and the Carhart (1997) four-factor model...

Persistent link: https://www.econbiz.de/10012949435