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On portfolio optimization : forecasting covariances and choosing the risk model
Chan, Louis K. C.; Karceski, Jason; Lakonishok, Josef - In: The review of financial studies 12 (1999) 5, pp. 937-974
Persistent link: https://www.econbiz.de/10001434627
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On portfolio optimization : forecasting covariances and choosing the risk model
Chan, Louis K. C.; Karceski, Jason; Lakonishok, Josef - 1999
Persistent link: https://www.econbiz.de/10001378371
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High-dimensionality in statistics and portfolio optimization
Glombek, Konstantin - 2012 - 1. Aufl.
Persistent link: https://www.econbiz.de/10013360879
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The cross-section of positively weighted portfolios
Niedermayer, Daniel (contributor);  … - 2007
expected returns and betas. The numerical results of a Monte Carlo simulation show that in the CAPM slightly inefficient … the results suggest that the CAPM's pricing error is small when slightly inefficient, positively weighted proxies are used. …
Persistent link: https://www.econbiz.de/10003666366
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Essays in financial economics
Greenwood, Robin - 2002
Persistent link: https://www.econbiz.de/10003779960
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Asymmetries in stock returns : statistical tests and economic evaluation
Hong, Yongmiao; Tu, Jun; Zhou, Guofu - In: The review of financial studies 20 (2007) 5, pp. 1547-1581
Persistent link: https://www.econbiz.de/10003621186
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Risk reduction in large portfolios : why imposing the wrong constraints helps
Jagannathan, Ravi; Ma, Tongshu - In: The journal of finance : the journal of the American … 58 (2003) 4, pp. 1651-1684
Persistent link: https://www.econbiz.de/10001781173
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Risk reduction in large portfolios : why imposing the wrong constraints helps
Jagannathan, Ravi; Ma, Tongshu - 2002
Persistent link: https://www.econbiz.de/10001667500
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Basic assets
Ahn, Dong-Hyun; Conrad, Jennifer S.; Dittmar, Robert F. - In: The review of financial studies 22 (2009) 12, pp. 5133-5174
Persistent link: https://www.econbiz.de/10003916318
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Long-term performance evaluation : methodological issues and empirical applications
Hoechle, Daniel - 2007
Persistent link: https://www.econbiz.de/10003591346