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Neural Network Copula Portfolio Optimization for Exchange Traded Funds
Zhao, Yang - 2018
asymmetric skewed t copula statistically outperforms symmetric copulas when it comes to modelling ETF returns dependence. The … copula model (NNC) is introduced in order to capture the dependence structure across ETF returns. Based on the above, weekly …
Persistent link: https://www.econbiz.de/10012935150
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A financial modeling approach to industry exchange-traded funds selection
Conlon, Thomas; Cotter, John; Kovalenko, Illia; Post, … - In: Journal of empirical finance 74 (2023), pp. 1-19
Persistent link: https://www.econbiz.de/10014477136
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Liquidity, style investing and excess comovement of exchange-traded fund returns
Broman, Markus S. - In: Journal of financial markets 30 (2016), pp. 27-53
Persistent link: https://www.econbiz.de/10011722252
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Unskilled fund managers : replicating active fund performance with few ETFs
Moraes, Fernando Tassinari; Cavalcante Júnior, Elias; … - In: International review of financial analysis 78 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10013253524
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Fund flows and underlying returns : the case of ETFs
Staer, Arsenio - In: International journal of business 22 (2017) 4, pp. 275-304
Persistent link: https://www.econbiz.de/10011760203
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Unskilled fund managers: replicating active fund performance with few ETFs
Cavalcante Júnior, Elias; De-Losso, Rodrigo; Moraes, … - 2020
Persistent link: https://www.econbiz.de/10012432495
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Risk and uncertainty in style rotation
Krause, Timothy A. - In: Financial services review : the journal of individual … 27 (2018) 2, pp. 189-207
Persistent link: https://www.econbiz.de/10011992584
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Liquidity, Style Investing, and Excess Comovement of Exchange-Traded Fund Returns
Broman, Markus S. - 2016
This study shows that exchange-traded fund (ETF) misvaluation — based on return differentials between ETFs and their … primarily from the ETF, rather than the NAV price. Excess comovements are greater for funds with high commonality in demand …
Persistent link: https://www.econbiz.de/10013007326
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Static indexing beats tactical asset allocation
McCarthy, Joseph E.; Tower, Edward - In: The journal of index investing : ETFs, ETPs, & indexing 11/12 (2021) 4/1, pp. 41-52
Persistent link: https://www.econbiz.de/10012613698
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Unleveraged portfolios and pure allocation return
Alemanni, Barbara; Maggi, Mario Alessandro; Uberti, … - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-11
proposing to take long positions on “short assets” (e.g. inverse ETF), thereby considering short positions as active investment …
Persistent link: https://www.econbiz.de/10012795929