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Efficient integration of risk premia exposures into equity portfolios
Vaucher, B.; Medvedev, A. - In: The journal of asset management 18 (2017) 7, pp. 538-546
Persistent link: https://www.econbiz.de/10011855217
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Static indexing beats tactical asset allocation
McCarthy, Joseph E.; Tower, Edward - In: The journal of index investing : ETFs, ETPs, & indexing 11/12 (2021) 4/1, pp. 41-52
Persistent link: https://www.econbiz.de/10012613698
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Do hedge funds bet against beta?
Malachov, Aleksej; Riley, Timothy B.; Yan, Qing - In: International review of economics & finance : IREF 93 (2024) 1, pp. 1507-1525
Persistent link: https://www.econbiz.de/10014535483
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Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data
Chen, Xin; Yang, Dan; Yan, Xu; Xia, Yin; Wang, Dong; … - In: Journal of econometrics 232 (2023) 2, pp. 544-564
Persistent link: https://www.econbiz.de/10014340639
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A portfolio construction framework using LSTM-based stock markets forecasting
Cipiloglu Yildiz, Zeynep; Yildiz, Selim Baha - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 2356-2366
Persistent link: https://www.econbiz.de/10013184892
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Modelling financial returns and portfolio construction for the Russian stock market
Balaev, Alexey I. - In: International journal of computational economics and … 4 (2014) 1/2, pp. 32-81
Persistent link: https://www.econbiz.de/10010411211
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Review on efficiency and anomalies in stock markets
Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51
reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and …
Persistent link: https://www.econbiz.de/10012237439
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Noisy factors
Akey, Pat; Robertson, Adriana Z.; Simutin, Mikhail - 2021
Persistent link: https://www.econbiz.de/10012886426
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Revisiting the CAPM model with quantile regression : creating investment strategies on the Zagreb Stock Exchange
Škrinjarić, Tihana; Slišković, Marina - In: International journal of economics and business … 19 (2020) 3, pp. 266-289
Persistent link: https://www.econbiz.de/10012205614
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The CAPM, national stock market betas, and macroeconomic covariates : a global analysis
Curran, Michael; Velic, Adnan - 2018
Persistent link: https://www.econbiz.de/10011898916