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Persistent link: https://www.econbiz.de/10010399273

How can a q-theoretic model price momentum?

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New insights on asset pricing and illiquidity

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Imperfect predictability and mutual fund dynamics : how managers use predictors in changing systematic risk

Amisano, Gianni (contributor); Savona, Roberto (contributor) - 2008

Suppose a fund manager uses predictors in changing portfolio allocations over time. How does predictability translate into portfolio decisions? To answer this question we derive a new model within the Bayesian framework, where managers are assumed to modulate the systematic risk in part by...