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Parametric portfolio policies : exploiting characteristics in the cross-section of equity returns
Brandt, Michael W.; Santa-Clara, Pedro; Valkanov, Rossen I. - In: The review of financial studies 22 (2009) 9, pp. 3411-3447
Persistent link: https://www.econbiz.de/10003885704
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Asset pricing and default risk
Breig, Christoph - 2011
Persistent link: https://www.econbiz.de/10008779050
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An empirical investigation of the book-to-market and size effects
Petkova, Ralitsa - 2003
Persistent link: https://www.econbiz.de/10003385465
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Three essays on asset pricing anomalies, investor overreaction, and mutual fund performance
Zhang, Hong - 2004
Persistent link: https://www.econbiz.de/10003551684
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Essays in empirical asset pricing
Gu, Li - 2006
Persistent link: https://www.econbiz.de/10003965316
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Robust reverse engineering of cross-sectional returns and improved portfolio allocation performance using the CAPM
Ni, Xiaohui; Malevergne, Yannick; Sornette, Didier; … - 2011
. CAPM, Mean-Variance Portfolio Optimization, Constrained Optimization, Fama-French, Value-Size Portfolios, Dynamical …
Persistent link: https://www.econbiz.de/10009009611
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Consumption, money and excess returns
Schmeling, Maik - In: Applied economics 43 (2011) 19/21, pp. 2559-2563
Persistent link: https://www.econbiz.de/10009379690
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Quantitative forecast model for the application of the Black-Litterman approach
Becker, Franziska; Gürtler, Marc - 2008 - This Version: 2010-11-10
The estimation of expected security returns is one of the major tasks for the practical implementation of the Markowitz … context we present how analysts' dividend forecasts can be used to determine an a-priori-estimation of the expected returns …
Persistent link: https://www.econbiz.de/10009487257
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Momentum effect in US stocks : an exponential effect
Alhenawi, Yasser - In: The empirical economics letters : a monthly … 12 (2013) 7, pp. 697-704
Persistent link: https://www.econbiz.de/10010363139
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Dynamic factors and asset pricing : international and further U.S. evidence
He, Zhongzhi; Zhu, Jie; Zhu, Xiaoneng - In: Pacific-Basin finance journal 32 (2015), pp. 21-39
Persistent link: https://www.econbiz.de/10011471528