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The enterprise multiple investment strategy : international evidence
Walkshäusl, Christian; Lobe, Sebastian - In: Journal of financial and quantitative analysis : JFQA 50 (2015) 4, pp. 781-800
Persistent link: https://www.econbiz.de/10011431020
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Characteristic-based mean-variance portfolio choice
Hjalmarsson, Erik; Manchev, Petar - In: Journal of banking & finance 36 (2012) 5, pp. 1392-1402
Persistent link: https://www.econbiz.de/10009615809
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Characteristic-based mean-variance portfolio choice
Hjalmarsson, Erik; Manchev, Peter - 2009
Persistent link: https://www.econbiz.de/10009535469
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Characteristic-Based Mean-Variance Portfolio Choice
Hjalmarsson, Erik - 2009
We study empirical mean-variance optimization when the portfolio weights are restricted to be direct functions of underlying stock characteristics such as value and momentum. The closed-form solution to the portfolio weights estimator shows that the portfolio problem in this case reduces to a...
Persistent link: https://www.econbiz.de/10013155054
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An analysis of the risk-return characteristics of serially correlated managed futures
Elaut, Gert; Erdős, Péter; Sjödin, John - In: The journal of futures markets 36 (2016) 10, pp. 992-1013
Persistent link: https://www.econbiz.de/10011568847
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Alpha construction in a consistent investment process
Ceria, Sebastián; Sivaramakrishnan, Kartik; Stubbs, … - In: Portfolio construction, measurement, and efficiency : …, (pp. 257-274). 2017
Persistent link: https://www.econbiz.de/10011603244
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Alpha momentum and alpha reversal in country and industry equity indexes
Zaremba, Adam; Umutlu, Mehmet; Karathanasopoulos, Andreas - In: Journal of empirical finance 53 (2019), pp. 144-161
Persistent link: https://www.econbiz.de/10012171632
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Do fund managers time momentum? : evidence from mutual fund and hedge fund returns
Wang, Feifei; Zheng, Lingling - In: European financial management : the journal of the … 30 (2024) 1, pp. 55-91
Persistent link: https://www.econbiz.de/10014470412
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Have shifts in investor tastes led the market portfolio to capture ESG preferences?
Rojo-Suárez, Javier; Alonso-Conde, Ana B. - In: International review of financial analysis 91 (2024), pp. 1-13
Persistent link: https://www.econbiz.de/10014446995
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The role of ESG scores in ESG fund performance and institutional investor selection
Liang, Jinma; Zhang, Yicheng; Li, Yuanheng - In: Finance research letters 65 (2024), pp. 1-8
Persistent link: https://www.econbiz.de/10014563737