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Essays on asset and portfolio management : rethinking portfolio rebalancing
Wittig, Hagen - 2015
characteristics, namely the relative price and volatility levels. The empirical analysis reveals significant excess returns in … asset class's stand-alone volatility or correlation to the portfolio's remaining asset classes. Thus, this method lets … risk, equity premium, and volatility. We further define bandwidths for every risk factor loading. Once the effective …
Persistent link: https://www.econbiz.de/10011418707
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Asymmetric dependence in finance : diversification, correlation and portfolio management in market downturns
Alcock, Jamie (ed.); Satchell, Stephen (ed.) - 2018
"Asymmetric Dependence (hereafter, AD) is usually thought of as a cross-sectional phenomenon. Andrew Patton describes AD as "stock returns appear to be more highly correlated during market downturns than during market upturns." (Patton, 2004) Thus at a point in time when the market return is...
Persistent link: https://www.econbiz.de/10011761934
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Financial markets and the real economy
Cochrane, John H. - 2005
Persistent link: https://www.econbiz.de/10003285703
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Forecasting financial markets: theory and applications
Milo, Władysław (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003336353
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Tools and techniques
Aït-Sahalia, Yacine (ed.); Hansen, Lars Peter (ed.) - 2010
Persistent link: https://www.econbiz.de/10003898678
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Essays on information, hedging, volatility in financial market
Xiao, Yajun - 2009
Persistent link: https://www.econbiz.de/10003916641
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Asset management in volatile markets
Balling, Morten (contributor); Haiss, Peter R. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003985503
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Macroeconomic factors and asset prices : an empirical investigation
Mitrache, Andreea - 2015
Persistent link: https://www.econbiz.de/10011439183
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Applied quantitative finance : theory and computational tools
Härdle, Wolfgang; Stahl, Gerhard - 2002
Persistent link: https://www.econbiz.de/10001676122
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Asset management in volatile markets
Haiss, Peter R.; Sammer, Bernhard; Gartner, Martin; … - New Trends in Asset Management: Exploring the … - 2010
The 27th SUERF Colloquium in Munich in June 2008: New Trends in Asset Management: Exploring the Implications was already topical in the Summer of 2008. The subsequent dramatic events in the Autumn of 2008 made the presentations in Munich even more relevant to investors and bankers that want to...
Persistent link: https://www.econbiz.de/10011705329