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Jiang, Wenxi - In: Review of finance : journal of the European Finance … 28 (2024) 3, pp. 769-804

Persistent link: https://www.econbiz.de/10015046163

Multi-moment risk, hedging strategies, & the business cycle

Racicot, François-Éric; Théoret, Raymond - In: International review of economics & finance : IREF 58 (2018), pp. 637-675

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Robust Portfolio Allocation with Systematic Risk Contribution Restrictions

Darolles, Serge - 2015

The standard mean-variance approach can imply extreme weights in some assets in the optimal allocation and a lack of stability of this allocation over time. To improve the robustness of the portfolio allocation, but also to better control for the portfolio turnover and the sensitivity of the...

Persistent link: https://www.econbiz.de/10013036134

Pure return persistence, Hurst exponents and hedge fund selection : a practical note

Auer, Benjamin R. - In: The journal of asset management 17 (2016) 5, pp. 319-330

Persistent link: https://www.econbiz.de/10011634661

Hedge funds : la fin du laissez-faire

Aglietta, Michel; Rigot, Sandra - In: Revue économique : revue bimestrielle 60 (2009) 3, pp. 693-702

Persistent link: https://www.econbiz.de/10003885472

Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds

Racicot, François-Éric; Théoret, Raymond - In: Journal of banking & finance 62 (2016), pp. 41-61

Persistent link: https://www.econbiz.de/10011634052

What can we learn from financial stress indicator?

Zhang, Dan; Li, Biangxiang - In: Finance research letters 50 (2022), pp. 1-5

Persistent link: https://www.econbiz.de/10014240192

On the network topology of variance decompositions : measuring the connectedness of financial firms

Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134

Persistent link: https://www.econbiz.de/10010497110

Systemic risk in carry-trade portfolios

Liu, Chih-Liang; Yang, Hsin-Feng - In: Finance research letters 20 (2017), pp. 40-46

Persistent link: https://www.econbiz.de/10011806754

Capital regulation induced reaching for systematic yield : financial instability through fire sales

Boermans, Martijn A.; Van der Kroft, Bram - In: Journal of banking and finance 158 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10014451958