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Is a portfolio of socially responsible firms profitable for investors?

Ur Rehman, Mobeen; Xuan Vinh Vo - In: Journal of sustainable finance & investment 10 (2020) 2, pp. 191-212

Persistent link: https://www.econbiz.de/10012286269

Factor exposure variation and mutual fund performance

Ammann, Manuel; Fischer, Sebastian; Weigert, Florian - 2020 - This version: August 2020

We investigate the relationship between a mutual fund's variation in factor exposures and its future performance. Using a dynamic state space version of Carhart (1997)'s four factor model to capture factor variation, we find that funds with volatile factor exposures underperform funds with...

Persistent link: https://www.econbiz.de/10012264676

Continuous wavelet transform and rolling correlation of European stock markets

Tiwari, Aviral Kumar; Mutascu, Mihai; Albulescu, … - In: International review of economics & finance : IREF 42 (2016), pp. 237-256

Persistent link: https://www.econbiz.de/10011625112

On portfolio optimization : forecasting asset covariances and variances based on multi-scale risk models

Berger, Theo; Fieberg, Christian - In: Journal of risk finance : the convergence of financial … 17 (2016) 3, pp. 295-309

Persistent link: https://www.econbiz.de/10011628354

Stock market integration in Africa reconsidered : a wavelet multiple correlation and cross-correlation analysis

Rémy, Oyaya Jean - In: The empirical economics letters : a monthly … 15 (2016) 2, pp. 205-218

Persistent link: https://www.econbiz.de/10011580420

Size, value and momentum in stock returns : evidence from India

Das, Sudipta; Barai, Parama - In: Macroeconomics and finance in emerging market economies 9 (2016) 1/3, pp. 284-302

Persistent link: https://www.econbiz.de/10011583841

Estimation of correlations in portfolio credit risk models based on noisy security prices

Boudreault, Mathieu; Gauthier, Geneviève; Thomassin, Tommy - In: Journal of economic dynamics & control 61 (2015), pp. 334-349

Persistent link: https://www.econbiz.de/10011589542

Time-Dependent Black–Litterman

Van der Schans, Martin; Steehouwer, Hens - In: The journal of asset management 18 (2017) 5, pp. 371-387

Persistent link: https://www.econbiz.de/10011704538

Portfolio diversification benefits of Islamic investors with their major trading partners : evidence from Malaysia based on MGARCH-DCC and wavelet approaches

Rahim, Adam Mohamed; Masih, Mansur - In: Economic modelling 54 (2016), pp. 425-438

Persistent link: https://www.econbiz.de/10011642223

Pairs trading of two assets with uncertainty in co-integration's level of mean reversion

Lee, Sangmin; Papanicolaou, Andrew - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-36

Persistent link: https://www.econbiz.de/10011686768