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On mutual funds-of-ETFs asset allocation with rebalancing : sample covariance versus EWMA and GARCH

Xidonas, Panos; Tsionas, Mike; Zopounidis, Constantin - 2020

Persistent link: https://www.econbiz.de/10012165614

A network analysis on fund portfolio mismatch and market volatility : evidence from China

Zhang, Yuan; Chen, Shaoling; Zhang, Honghua - In: Asia-Pacific journal of accounting & economics : … 31 (2024) 3, pp. 395-422

Persistent link: https://www.econbiz.de/10014560715

Reversing momentum : the optimal dynamic momentum strategy

Li, Kai; Liu, Jun - 2016

Persistent link: https://www.econbiz.de/10011777992

Performance evaluation with information on portfolio compositions

Hwang, Sun-wung; Park, Jinwoo - In: Asia-Pacific journal of financial studies 40 (2011) 5, pp. 710-730

Persistent link: https://www.econbiz.de/10009566676

Time-varying fund manager skill in Korea

Shin, Jung-Cheol; Cheong, Mun-Kyung; Kim, Yong-Hyeon; … - In: Global business and finance review 26 (2021) 2, pp. 1-17

/methodology/approach: First, this study investigates whether fund managers pick stocks in expansions and time the market in recessions. Second, we … timing skill in recessions. Research limitations/implications: Since no institutions or organizations provide real-time …

Persistent link: https://www.econbiz.de/10012695790

Idiosyncratic risk and mutual fund performance

Vidal-García, Javier; Vidal, Marta; Boubaker, Sabri; … - In: Decision making and risk/return optimization in …, (pp. 349-372). 2019

Persistent link: https://www.econbiz.de/10012135878

Dynamic consumption and asset allocation with derivative securities

Hsuku, Yuan-Hung - In: Quantitative fund management, (pp. 43-66). 2009

Persistent link: https://www.econbiz.de/10003796940

Volatility-induced financial growth

Dempster, Michael A. H.; Evstigneev, Igor V.; … - In: Quantitative fund management, (pp. 67-84). 2009

Persistent link: https://www.econbiz.de/10003796944

Volatility-induced financial growth

Dempster, Michael A. H. (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002998126

Explaining Momentum Strategies Using Intrinsic Price Fluctuations

Baltas, Nick - 2012

This paper focuses on cross-sectional equity momentum patterns by modeling a stock's price path as the interaction between a long-term growth component and a number of fluctuating price components that oscillate around the long-term trend at various distinct frequencies. Using this...

Persistent link: https://www.econbiz.de/10013114193