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Reversing momentum : the optimal dynamic momentum strategy
Li, Kai; Liu, Jun - 2016
Persistent link: https://www.econbiz.de/10011777992
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Detecting prudence and temperance in risk exposure : the hybrid variance framework
Gao, Jun; Gao, Xiang; Liu, Xiaoli; Wang, Zhan - In: Journal of risk 24 (2022) 5, pp. 75-88
Persistent link: https://www.econbiz.de/10014546352
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Data-driven distributionally robust CVaR portfolio optimization under a regime-switching ambiguity set
Pun, Chi Seng; Wang, Tianyu; Yan, Zhenzhen - In: Manufacturing & service operations management : M & SOM 25 (2023) 5, pp. 1779-1795
Persistent link: https://www.econbiz.de/10014383458
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Portfolio optimization under volatility and shortfall constraints
Kalin, Dieter; Zagst, Rudi - 1995
Persistent link: https://www.econbiz.de/10000955547
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A model-independent measure of aggregate idiosyncratic risk
Bali, Turan G.; Cakici, Nusret; Levy, Haim - In: Journal of empirical finance 15 (2008) 5, pp. 878-896
Persistent link: https://www.econbiz.de/10003776398
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Asset allocation with a high dimensional latent factor stochastic volatility model
Han, Yufeng - In: The review of financial studies 19 (2006) 1, pp. 237-271
Persistent link: https://www.econbiz.de/10003325179
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Optimal portfolio management in highly volatile markets
Stoyanov, Stoyan Veselinov - 2005
Persistent link: https://www.econbiz.de/10003346695
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Dynamic consumption and asset allocation with derivative securities
Hsuku, Yuan-Hung - In: Quantitative fund management, (pp. 43-66). 2009
Persistent link: https://www.econbiz.de/10003796940
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Volatility-induced financial growth
Dempster, Michael A. H.; Evstigneev, Igor V.; … - In: Quantitative fund management, (pp. 67-84). 2009
Persistent link: https://www.econbiz.de/10003796944
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Idiosyncratic volatility and stock returns : a cross country analysis
Pukthuanthong, Kuntara; Visaltanachoti, Nuttawat - In: Applied financial economics 19 (2009) 16/18, pp. 1269-1281
Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inconsistent with the Capital Asset Pricing Model (CAPM), which implies that idiosyncratic risk should not be priced because it would be fully eliminated through diversification. Using Exponential...
Persistent link: https://www.econbiz.de/10003886161