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Econometric Modeling: Capital Markets - Portfolio Theory eJournal

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Viewing: 151 - 200 of 3,874 papers

151.

How Persistent is Private Equity Performance? Evidence from Deal-Level Data

Number of pages: 42 Posted: 23 Aug 2013 Last Revised: 23 Jan 2018
Working Paper Series
Technische Universität München (TUM) - TUM School of Management, University of Oxford - Said Business School and Technische Universität München (TUM) - Center for Entrepreneurial and Financial Studies
Downloads 1,404
152.

Quantum Computing (in 5 Minutes or Less) (Presentation Slides)

Number of pages: 10 Posted: 23 Nov 2015
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,390
153.

Momentum Trading, Return Chasing and Predictable Crashes

Number of pages: 44 Posted: 01 Nov 2014 Last Revised: 03 Dec 2014
Working Paper Series
Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Northwestern University - Kellogg School of Management

Multiple version iconThere are 4 versions of this paper

Downloads 1,387
154.

AlphaPortfolio: Direct Construction Through Reinforcement Learning and Interpretable AI

Number of pages: 67 Posted: 20 Apr 2020 Last Revised: 20 Feb 2021
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, Institute of Economics, School of Social Sciences, Tsinghua University, Beihang University (BUAA) and Beihang University (BUAA)
Downloads 1,383
155.

Caveat Emptor: Does Bitcoin Improve Portfolio Diversification?

Number of pages: 21 Posted: 15 Mar 2014 Last Revised: 04 Jun 2015
Working Paper Series
Vienna University of Economics and Business, Vienna University of Economics and Business - Institute for Finance, Banking and Insurance and Modul University Vienna - Department of International Management
Downloads 1,382
156.

US Sector Rotation with Five-Factor Fama-French Alphas

Number of pages: 27 Posted: 19 Jun 2017
Working Paper Series
University of Greenwich - Business School, Aalborg University and City University London - Sir John Cass Business School

Multiple version iconThere are 2 versions of this paper

Downloads 1,379
157.

Why Does an Equal-Weighted Portfolio Outperform Value- and Price-Weighted Portfolios?

Number of pages: 54 Posted: 29 Jan 2016 Last Revised: 16 Sep 2017
Working Paper Series
Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 1,378
158.

Altcoin-Bitcoin Arbitrage

Bulletin of Applied Economics 6(1) (2019) 87-110
Number of pages: 26 Posted: 06 Feb 2019 Last Revised: 03 Apr 2019
Accepted Paper Series
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 1,377
159.

Factor Investing and Asset Allocation: A Business Cycle Perspective

CFA Institute Research Foundation 2016-4
Number of pages: 192 Posted: 10 Mar 2017
Accepted Paper Series
Pacific Investment Management Company (PIMCO), Pacific Investment Management Company (PIMCO), Pacific Investment Management Company (PIMCO), Pimco and Pimco
Downloads 1,376
160.

The Impact of Crowding in Alternative Risk Premia Investing

Financial Analysts Journal, vol. 75, no. 3 (Third Quarter 2019)
Number of pages: 29 Posted: 17 Apr 2019 Last Revised: 09 Aug 2019
Accepted Paper Series
Imperial College Business School
Downloads 1,359
161.

Does It Pay to Bet Against Beta? On the Conditional Performance of the Beta Anomaly

Journal of Finance, Forthcoming
Number of pages: 92 Posted: 23 Apr 2013 Last Revised: 24 Jun 2015
Accepted Paper Series
University of Arizona - Department of Finance and University of Missouri at Columbia - Department of Finance
Downloads 1,357
162.

Have exchange-listed firms become less important for the economy?

Fisher College of Business Working Paper No. 2020-03-22, Charles A. Dice Center Working Paper No. 2020-22, European Corporate Governance Institute – Finance Working Paper 731/2021
Number of pages: 66 Posted: 07 Oct 2020 Last Revised: 22 Feb 2021
Working Paper Series
University of Pittsburgh - Finance Group and Ohio State University (OSU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,356
163.

Dead Alphas as Risk Factors

Journal of Asset Management 19(2) (2018) 110-115, Invited Editorial
Number of pages: 9 Posted: 01 Aug 2017 Last Revised: 26 Feb 2018
Accepted Paper Series
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 1,355
164.

Diversify and Purify Factor Premiums in Equity Markets

Number of pages: 24 Posted: 09 Jan 2017
Working Paper Series
BNP Paribas Asset Management, BNP Paribas Investment Partners, BNP Paribas Asset Management and BNP Paribas Asset Management
Downloads 1,325
165.

Growth-Trend Timing and 60-40 Variations: Lethargic Asset Allocation (LAA)

Number of pages: 15 Posted: 15 Dec 2019 Last Revised: 22 Jan 2020
Working Paper Series
VU University Amsterdam
Downloads 1,323
166.

Portfolio Oversight: An Evolutionary Approach

Number of pages: 50 Posted: 08 Nov 2012 Last Revised: 26 May 2014
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,320
167.

Efficient Market Hypothesis and Calendar Effects: Empirical Evidences from the Indian Stock Markets

Business Analyst, Volume 37, Issue 2, pp 145-160
Number of pages: 17 Posted: 10 Jun 2017
Accepted Paper Series
University of Delhi and University of Delhi - Shri Ram College of Commerce
Downloads 1,315
168.

Squaring Venture Capital Valuations with Reality: Online Appendix

Stanford University Graduate School of Business Research Paper No. 17-39
Number of pages: 219 Posted: 17 May 2017 Last Revised: 30 Jul 2019
Working Paper Series
University of British Columbia (UBC) - Sauder School of Business and Stanford University - Graduate School of Business
Downloads 1,311
169.

What is the Expected Return on a Stock?

Journal of Finance, Forthcoming
Number of pages: 83 Posted: 28 Apr 2016 Last Revised: 30 Aug 2018
Accepted Paper Series
London School of Economics & Political Science (LSE) - Department of Finance and WU Vienna University of Economics and Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,294
170.

Strategic Allocation to Commodity Factor Premiums

Number of pages: 26 Posted: 17 May 2013 Last Revised: 27 May 2014
Working Paper Series
Robeco Quantitative Investments and Robeco Asset Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,289
171.

ETF Short Interest and Failures-to-Deliver: Naked Short-Selling or Operational Shorting?

Darden Business School Working Paper No. 2961954, 2019 Academic Research Colloquium for Financial Planning and Related Disciplines
Number of pages: 79 Posted: 03 May 2017 Last Revised: 11 Apr 2019
Working Paper Series
University of Virginia - Darden School of Business, Villanova University - Department of Finance, Villanova University - Villanova School of Business and Villanova University - Department of Finance
Downloads 1,288
172.

Generating Superior Performance in Private Equity: A New Investment Methodology

Journal Of Investment Management, Forthcoming
Number of pages: 22 Posted: 21 Feb 2013 Last Revised: 16 Aug 2014
Accepted Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and PCRI, Harvard Business School

Multiple version iconThere are 2 versions of this paper

Downloads 1,284
173.

Are Earnings Predictable? Evidence from Equity Issues and Buyback Announcements

Number of pages: 38 Posted: 06 Apr 2015 Last Revised: 13 Jul 2020
Working Paper Series
University of Denver and Virginia Tech
Downloads 1,283
174.

The Role of Transaction Costs and Risk Aversion When Selecting Between One and Two Regimes for Portfolio Models

Applied Economics Letters, Forthcoming
Number of pages: 14 Posted: 20 Sep 2017 Last Revised: 15 May 2018
Accepted Paper Series
University of Bath - School of Management, University of Nottingham and University of Reading - ICMA Centre
Downloads 1,282
175.

The Fragility of Market Risk Insurance

Becker Friedman Institute for Research in Economics Working Paper No. 2018-9
Number of pages: 58 Posted: 24 May 2017 Last Revised: 16 Jan 2021
Working Paper Series
University of Chicago - Booth School of Business and Princeton University - Department of Economics

Multiple version iconThere are 3 versions of this paper

Downloads 1,269
176.

Strategic Asset Allocation

Number of pages: 48 Posted: 29 Jun 2013
Working Paper Series
Lyxor Asset Management, Lyxor Asset Management and Amundi Asset Management
Downloads 1,248
177.

Active and Passive Investing

Number of pages: 52 Posted: 15 Oct 2018 Last Revised: 08 Jun 2020
Working Paper Series
University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
Downloads 1,247
178.

The Smart Beta Mirage

Number of pages: 51 Posted: 01 Jul 2020 Last Revised: 30 Dec 2020
Working Paper Series
The University of Hong Kong - Faculty of Business and Economics, University of Washington - Michael G. Foster School of Business and The University of Hong Kong
Downloads 1,246
179.

Covering the World: Global Evidence on Covered Calls

Number of pages: 24 Posted: 28 Jun 2017 Last Revised: 21 Jul 2017
Working Paper Series
NDVR, Inc., AQR Capital Management, LLC and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 1,241
180.

Portfolio Risk Measures Implementation Using Python

Number of pages: 19 Posted: 27 Feb 2016
Working Paper Series
Independent
Downloads 1,226
181.

Fees Eat Diversification's Lunch

Financial Analysts Journal, Volume 72, Issue 2, March/April 2016, pages 31-40
Number of pages: 16 Posted: 28 Dec 2014 Last Revised: 31 Mar 2016
Working Paper Series
U.S. Air Force Academy - Department of Management and US Air Force Academy
Downloads 1,221
182.

Deflating the Sharpe Ratio

Number of pages: 43 Posted: 14 Jul 2014 Last Revised: 05 Jul 2015
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,207
183.

Low-Volatility Cycles: The Influence of Valuation and Momentum on Low-Volatility Portfolios

Financial Analysts Journal, Forthcoming
Number of pages: 34 Posted: 16 Aug 2013 Last Revised: 18 Dec 2014
Accepted Paper Series
Florida Atlantic University - Department of Finance, University of Virginia (UVA), Investment Management Company, University of Virginia, Darden Graduate School of Business and TIAA Institute - Covariance Capital Management
Downloads 1,202
184.

What is Portfolio Diversification?

Number of pages: 9 Posted: 27 Sep 2013 Last Revised: 14 Feb 2014
Working Paper Series
Barings
Downloads 1,194
185.

Stochastic Portfolio Theory: A Machine Learning Perspective

Proceedings of the 32nd Conference on Uncertainty in Artificial Intelligence, 2016
Number of pages: 9 Posted: 09 May 2016
Accepted Paper Series
Pit.AI Technologies, Inc. and Mathematical Institute, University of Oxford
Downloads 1,187
186.

Factor Investing: Risk Premia vs. Diversification Benefits

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 43 Posted: 08 Jun 2015 Last Revised: 10 Sep 2017
Working Paper Series
Amundi Asset Management and Université Libre de Bruxelles (ULB), Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) & CERMi
Downloads 1,183
187.

Deep Learning in Characteristics-Sorted Factor Models

Number of pages: 40 Posted: 23 Sep 2018 Last Revised: 22 Feb 2021
Working Paper Series
City University of Hong Kong (CityUHK), University of Chicago - Booth School of Business and University of Chicago, Students
Downloads 1,177
188.

Limitations to Event Studies and How They Apply

Number of pages: 3 Posted: 07 Jun 2017
Working Paper Series
Independent
Downloads 1,162
189.

Investment Performance of Shorted Leveraged ETF Pairs

Number of pages: 35 Posted: 04 Feb 2013
Working Paper Series
Suffolk University and CUNY Brooklyn College
Downloads 1,160
190.

Dynamic Alpha: A Spectral Decomposition of Investment Performance Across Time Horizons

Number of pages: 30 Posted: 11 Jun 2018 Last Revised: 01 Jul 2018
Working Paper Series
Massachusetts Institute of Technology and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,159
191.

Market Timing and Predictability in FX Markets

HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital, 29th Australasian Finance and Banking Conference 2016
Number of pages: 87 Posted: 20 Jun 2016 Last Revised: 09 Mar 2020
Working Paper Series
The University of Hong Kong, University of New South Wales, Sydney and Finance Dept., Pamplin College of Business, Virginia Tech
Downloads 1,155
192.

The Active World of Passive Investing

Western Finance Association (WFA) Annual Meeting (2018)
Number of pages: 57 Posted: 27 Jul 2018 Last Revised: 26 Oct 2020
Working Paper Series
Cornell University - Department of Economics, University of Technology Sydney (UTS) - School of Finance and Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Technology Sydney (UTS)
Downloads 1,154
193.

Tradable Aggregate Risk Factors and the Cross-Section of Stock Returns

Number of pages: 41 Posted: 29 Apr 2013 Last Revised: 15 Dec 2016
Working Paper Series
Norges Bank Investment Management (NBIM), Pacific Investment Management Company (PIMCO) and Insper
Downloads 1,151
194.

Separating Winners from Losers Among Value and Growth Stocks in Canada Another Step in the Value Investing Process

Journal of Applied Research in Accounting and Finance (JARAF), Vol. 8, No. 1, 2013
Number of pages: 32 Posted: 10 Jun 2013
Accepted Paper Series
University of Western Ontario - Finance-Economics Area Group
Downloads 1,150
195.

Keep Up the Momentum

Number of pages: 16 Posted: 09 Jan 2018
Working Paper Series
Amundi Asset Management
Downloads 1,147
196.

Multi-Alpha Equity Portfolios: An Integrated Risk Budgeting Approach for Robust Constrained Portfolios

Forthcoming Journal of Asset Management
Number of pages: 34 Posted: 10 Nov 2012 Last Revised: 29 Jun 2014
Accepted Paper Series
BNP Paribas Asset Management, BNP Paribas Investment Partners and BNP Paribas Investment Partners
Downloads 1,142
197.

Backtesting

Number of pages: 12 Posted: 23 Apr 2012
Working Paper Series
University of Toronto - Rotman School of Management
Downloads 1,138
198.

Demystifying Rebalancing Premium and Extending Portfolio Theory in the Process

Number of pages: 27 Posted: 07 Mar 2017
Working Paper Series
MSCI Barra and Financial Advisory Services
Downloads 1,122
199.

A New Look at Currency Investing

CFA Institute Research Foundation Monograph
Number of pages: 106 Posted: 01 Mar 2015
Accepted Paper Series
Fischer Francis Trees & Watts, Inc. and New York University (NYU) - Department of Finance
Downloads 1,116
200.

Notes on Fano Ratio and Portfolio Optimization

Journal of Risk & Control 5(1) (2018) 1-33
Number of pages: 29 Posted: 10 Oct 2017 Last Revised: 18 Apr 2018
Accepted Paper Series
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 1,111