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Fundamental analysis and mean-variance optimal portfolios

Lyle, Matthew R.; Yohn, Teri Lombardi - In: The accounting review : a publication of the American … 96 (2021) 6, pp. 303-327

Persistent link: https://www.econbiz.de/10012703031

The low-volatility anomaly revisited

Perras, Patrizia Julia; Reberger, Alexander; Wagner, … - In: Credit and capital markets : Kredit und Kapital 53 (2020) 2, pp. 221-244

Persistent link: https://www.econbiz.de/10012510335

Using a mean changing stochastic processes exit-entry model for stock market long-short prediction

Lleo, Sébastien; Zhitlukhin, M. V.; Ziemba, William T. - 2021

Persistent link: https://www.econbiz.de/10012520206

Optimizing the market-risk of major cryptocurrencies using CVaR measure and copula simulation

Pradhan, Ashis Kumar; Mittal, Ishan; Tiwari, Aviral Kumar - In: Macroeconomics and finance in emerging market economies 14 (2021) 3, pp. 291-307

Persistent link: https://www.econbiz.de/10012649582

Mixture of consistent stochastic utilities, and a priori randomness

Mrad, Mohamed - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10012650235

Essays on asset pricing and portfolio optimization

Koeppel, Christian - 2021

WThis doctoral thesis focuses on the effects of investor sentiment on asset pricing and the challenges of portfolio optimization under parameter uncertainty. The ﬁrst essay "Sentiment risk premia in the cross-section of global equity" applies a recently developed sentiment proxy to the...

Persistent link: https://www.econbiz.de/10012651028

Coherent risk measures and normal mixture distributions with applications in portfolio optimization

Shi, Xiang; Kim, Young Shin - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10012652709

Continuous-time portfolio optimization under partial information and convex constraints : deriving explicit results

Vonwirth, Christian - 2017

Persistent link: https://www.econbiz.de/10012659449

Optimal dynamic futures portfolio under a multifactor Gaussian framework

Leung, Tim; Yan, Raphael; Zhou, Yang - In: International journal of theoretical and applied finance 24 (2021) 5, pp. 1-27

Persistent link: https://www.econbiz.de/10012662043

Bitcoin and portfolio diversification : a portfolio optimization approach

Bakry, Walid; Rashid, Audil; Al-Mohamad, Somar; Elkanj, … - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-24

This study investigates the performance of Bitcoin as a diversifier under different constraining portfolio optimization frameworks. The study employs different constraining optimization frameworks that seek to maximize risk-adjusted returns (Sharpe ratio) of the portfolio by optimizing...

Persistent link: https://www.econbiz.de/10012622395