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Data-driven investigation into anomaly trading strategies : evidence with econometrics
French, Jordan - 2019
Persistent link: https://www.econbiz.de/10012126157
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Econometric issues related to errors in variables in financial models
Maddala, Gangadharrao S. - In: Econometrics and economic theory in the 20th century : …, (pp. 414-432). 1998
Persistent link: https://www.econbiz.de/10001548940
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No arbitrage theory for bond markets
Klein, Irene; Schmidt, Thorsten; Teichmann, Josef - In: Advanced modelling in mathematical finance : in honour …, (pp. 381-421). 2016
Persistent link: https://www.econbiz.de/10011800388
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Arbitrage opportunities between gold exchange-traded funds
Kharma, Céline - In: Essays on exchange traded funds, market quality and …, (pp. 1-32). 2018
Finally, I further explore the topic of ETF competition in the context of arbitrage. Three perfectly substitutable ETFs compete on the gold market. They all adjust to the daily gold fixing price, therefore never diverging significantly from each other. This constitutes an ideal setting for a...
Persistent link: https://www.econbiz.de/10011962540
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Measuring portfolio performance and the empirical content of the APT
Steiner, Manfred; Nowak, Thomas; Wittrock, Carsten - In: Empirical research on the German capital market : with …, (pp. 207-230). 1999
Persistent link: https://www.econbiz.de/10001427669
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Arbitrage, state prices and portfolio theory
Dybvig, Philip H.; Ross, Stephen A. - 2003
Persistent link: https://www.econbiz.de/10001832876
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Optimization heuristics in portfolio selection
Giuzio, Margherita - In: Essays in portfolio selection, (pp. 98-110). 2017
Persistent link: https://www.econbiz.de/10012111518
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Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming
Sant'Anna, Leonardo Riegel; Filomena, Tiago Pascoal; … - 2017
Persistent link: https://www.econbiz.de/10011778629
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Implementing a reference portfolio strategy in bond portfolio management
Derigs, Ulrich; Nickel, Nils-H. - In: Operations research proceedings 2003 : selected papers …, (pp. 245-252). 2004
Persistent link: https://www.econbiz.de/10002072488
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Investitionsentscheidungen bei mehrfachen Zielsetzungen und künstliche Ameisen
Doerner, Karl; Gutjahr, Walter J.; Hartl, Richard F.; … - In: Operations research proceedings 2001 : selected papers …, (pp. 355-362). 2002
Persistent link: https://www.econbiz.de/10001677529