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Essays on asset pricing and portfolio optimization

Koeppel, Christian - 2021

WThis doctoral thesis focuses on the effects of investor sentiment on asset pricing and the challenges of portfolio optimization under parameter uncertainty. The ﬁrst essay "Sentiment risk premia in the cross-section of global equity" applies a recently developed sentiment proxy to the...

Persistent link: https://www.econbiz.de/10012651028

Investor sentiment : does it augment the performance of asset pricing models?

Bathia, Deven; Bredin, Donal - In: International review of financial analysis 59 (2018), pp. 290-303

Persistent link: https://www.econbiz.de/10012006993

Temporary price trends in the stock market with rational agents

Ichkitidze, Yuri - In: The quarterly review of economics and finance : journal … 68 (2018), pp. 103-117

Persistent link: https://www.econbiz.de/10012034517

Systematic limited arbitrage and the cross-section of stock returns : evidence from exchange traded funds

DeLisle, R. Jared; McTier, Brian C.; Smedema, Adam R. - In: Journal of banking & finance 70 (2016), pp. 118-136

Persistent link: https://www.econbiz.de/10011635135

Erklärung von "Mean Reversion" auf internationalen Aktienmärkten

Tolksdorf, Norbert - 2002

Trotz jahrzehntelanger Forschung zur Gültigkeit der Hypothese informationseffizienter Kapitalmärkte (EMH) sind wesentliche damit verbundene Fragestellungen noch immer ungeklärt. Eine ist diejenige nach der Existenz und der Erklärung von zeitvariablen Überrenditen ("Time Varying Excess...