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Betting against beta (and gamma) using government bonds
Durham, J. Benson - 2015
Purportedly consistent with "risk parity" (RP) asset allocation, recent studies document compelling "low risk" trading …
Persistent link: https://www.econbiz.de/10010467093
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Betting Against Beta (and Gamma) Using Government Bonds
Durham, J. Benson - 2016
Purportedly consistent with “risk parity” (RP) asset allocation, recent studies document compelling “low risk” trading … nonetheless belie a possible tension rather than consistency between leverage constraints and low-risk investing: namely, that …
Persistent link: https://www.econbiz.de/10013005284
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Duration-based stock valuation : reassessing stock market performance and volatility
Binsbergen, Jules H. van - 2020
Persistent link: https://www.econbiz.de/10012319395
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Betting Against Beta (and Gamma) Using Government Bonds
Durham, J. Benson - 2015
Purportedly consistent with “risk parity” (RP) asset allocation, recent studies document compelling “low risk” trading …
Persistent link: https://www.econbiz.de/10013017429
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Flights to safe assets in bond markets : evidence from emerging market economies
Janus, Jakub - In: Journal of international money and finance 139 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014478245
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Essays in optimal consumption and portfolio choice
Li, Jialun - 2012
Persistent link: https://www.econbiz.de/10011819078
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Optimal portfolio choice over the life cycle with social security
Smetters, Kent A.; Chen, Ying - 2009
Persistent link: https://www.econbiz.de/10009354797
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Optimal portfolio choice with wage-indexed social security
Li, Jialun; Smetters, Kent A. - 2011
allocate its portfolio between risky stocks and risk-free bonds over its lifecycle. We show that allowing for the wage …
Persistent link: https://www.econbiz.de/10009129772
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Bond Return, Spread Change, and the Momentum Effect in Corporate Bond and Stock Markets
Fang, Ming - 2018
This paper examines the momentum effect and its causes, the persistence in default risk change in particular, in both … can be attributed to compensation for bearing a varying default risk and term risk. This paper shows that the change in … controlling for risk characteristics such as duration and yield-to-maturity.This paper also documents the integration of the …
Persistent link: https://www.econbiz.de/10012918313
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Optimal Portfolio Choice with Wage-Indexed Social Security
Li, Jialun - 2011
stocks and risk-free bonds over its lifecycle. We show that allowing for the wage indexation of social security benefits …
Persistent link: https://www.econbiz.de/10012461633