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Investing in the Beta Space
Pereiro, Luis E. - 2019
The beta space is a powerful way to map the investment strategies of semi-diversified investors. Three metrics define …
Persistent link: https://www.econbiz.de/10012903983
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Optimal investment and equilibrium pricing under ambiguity
Anthropelos, Michail; Schneider, Paul - 2021
We consider portfolio selection under nonparametric alpha-maxmin ambiguity in the neighbourhood of a reference distribution. We show strict concavity of the portfolio problem under ambiguity aversion.Implied demand functions are nondifferentiable, resemble observed bid-ask spreads, and are...
Persistent link: https://www.econbiz.de/10012800006
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Sharpe (Ratio) Thinking About the Investment Opportunity Set and CAPM Relationship
Zakamulin, Valeriy - 2011
investment practice. The Sharpe ratio thinking also motivates to reconsider the CAPM relationship and adjust the Jensen's alpha …In the presence of a risk-free asset the investment opportunity set obtained via the Markowitz portfolio optimization …-covariance matrix. We show that the investment opportunity set can alternatively be characterized in terms of the vector of Sharpe …
Persistent link: https://www.econbiz.de/10013134325
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Production-Based Asset Pricing and Economic Tracking Portfolios : Establishing a Dynamic Partial Equilibrium Link between Economic State and Investment Levels
Gadiraju, Pavan - 2011
This paper investigates the link between economic state and investment levels in an economy within the premise of a … to establish a similar relationship between economic state and aggregate and sector-based venture capital investment … suffer, because of a change in the evolving economic state and effects of such a change on the investment levels in an …
Persistent link: https://www.econbiz.de/10013134628
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Cyclical asset returns in the consumption and investment goods sector
Heer, Burkhard; Maussner, Alfred; Süssmuth, Bernd - 2013
We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost …
Persistent link: https://www.econbiz.de/10009786095
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Cyclical asset returns in the consumption and investment goods sector : conference paper
Heer, Burkhard; Maußner, Alfred; Süssmuth, Bernd - 2014
We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost …
Persistent link: https://www.econbiz.de/10010482490
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Profitability and Investment Factors for UK Asset Pricing Models
Nichol, Eoghan - 2014
profitability and investment as factors, but differ in terms of implementation (Fama and French, 2014; Chen, Novy-Marx, and Zhang …
Persistent link: https://www.econbiz.de/10013045513
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Liquidity and investment horizon
Vovchak, Volodymyr - 2014
The paper investigates the relationship between the investment holding horizon and liquidity. I confirm and expand … investment decisions, which is an extension of the earlier findings of Teo (2011) for hedge funds …
Persistent link: https://www.econbiz.de/10010258742
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Deep Value Investing and Unexplained Returns
Oxman, Jeffrey - 2012
The strategy of buying and holding “net nets” has been advocated by deep value investors for decades, but systematic studies of the returns to such a strategy are few. We detail the returns generated from a net nets strategy implemented from 1984 - 2008, and then attempt to explain the...
Persistent link: https://www.econbiz.de/10013114061
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Static Fund Separation of Long Term Investments
Guasoni, Paolo - 2012
relative risk aversion, and with stochastic investment opportunities. An optimal portfolio decomposes as a constant mix of a …
Persistent link: https://www.econbiz.de/10013114549