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Econometric Modeling: Capital Markets - Portfolio Theory eJournal

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3801.

The Diversification Delta: A Different Perspective

Posted: 22 May 2019
Accepted Paper Series
University of Essex - Centre for Computational Finance and Economic Agents, Griffith University, Griffith University and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
3802.

The Dynamic Black-Litterman Approach to Asset Allocation

European Journal of Operational Research, Forthcoming
Posted: 16 Jan 2017
Accepted Paper Series
University of Bristol, University of Bristol and Nottingham Trent University - Department of Accounting and Finance

Multiple version iconThere are 2 versions of this paper

3803.

The Economic Value of Patent Portfolios

Journal of Economics and Management Strategy, DOI: 10.1111/jems.12210, Forthcoming
Posted: 12 May 2017
Working Paper Series
Bocconi University - Department of Management and Technology, Max Planck Institute for Innovation and Competition and University of Maastricht and UNU-MERIT

Multiple version iconThere are 3 versions of this paper

3804.

The Effect of Estimation in High‐Dimensional Portfolios

Mathematical Finance, Vol. 23, Issue 3, pp. 531-559, 2013
Number of pages: 29 Posted: 09 Jun 2013
Accepted Paper Series
Imperial College London - Department of Mathematics and London School of Economics & Political Science (LSE) - Department of Mathematics
3805.

The Effect of Regularization in Portfolio Selection Problems

Posted: 01 Oct 2018
Working Paper Series
Pontifical Catholic University of Chile, Adolfo Ibanez University - School of Business and CLAPES--UC
3806.

The Effective Combination of Risk-Based Strategies with Momentum and Trend Following

Posted: 30 Jan 2015 Last Revised: 01 Nov 2015
Working Paper Series
University of Namur
3807.

The Elephant in the Ground: Managing Oil and Sovereign Wealth

CEPR Discussion Paper No. DP10188
Number of pages: 63 Posted: 06 Oct 2014
Working Paper Series
University of Oxford, University of Oxford and University of Oxford

Multiple version iconThere are 2 versions of this paper

3808.

The Folly of Hiring Winners and Firing Losers

Journalof Portfolio Management, Vol. 45, No. 1, 2018
Posted: 16 Jan 2018 Last Revised: 30 Nov 2018
Accepted Paper Series
Research Affiliates, LLC, Research Affiliates Global Advisors and Research Affiliates, LLC
3809.

The High Volume Return Premium and Changes in Investor Recognition

26th Australasian Finance and Banking Conference 2013
Posted: 20 Aug 2013 Last Revised: 04 Apr 2020
Working Paper Series
Macquarie University, Macquarie University, Macquarie Business School and Western Sydney University

Multiple version iconThere are 3 versions of this paper

3810.

The Home Bias in Equities and Distribution Costs

The Scandinavian Journal of Economics, Vol. 117, Issue 3, pp. 983-1018, 2015
Number of pages: 36 Posted: 23 Jun 2015
Accepted Paper Series
Johannes Gutenberg University Mainz, Deutsche Bundesbank and Johannes Gutenberg University Mainz

Multiple version iconThere are 2 versions of this paper

3811.

The Illiquidity Discount of Life Insurance Investments

Zeitschrift für die gesamte Versicherungswissenschaft, Vol. 105, Issue 3, 2016
Posted: 07 Mar 2016 Last Revised: 07 Nov 2016
Accepted Paper Series
WHU - Otto Beisheim School of Management and WHU Otto Beisheim Graduate School of Management
3812.

The Impact of Crude Oil Investments in Bond Portfolios: Can Oil Serve as a Hedge Against Long Term Bonds?

Posted: 23 Mar 2014
Working Paper Series
San Diego State University and DePaul University - Department of Finance
3813.

The Impact of NASD Rule 2711 and NYSE Rule 472 on Analyst Behavior: The Strategic Timing of Recommendations Issued on Weekends

Journal of Business Finance & Accounting, Vol. 43, Issue 7-8, pp. 950-975, 2016
Number of pages: 26 Posted: 30 Sep 2016
Accepted Paper Series
Shanghai University of Finance and Economics and Stevens Institute of Technology - School of Business
3814.

The Importance of Asset Allocation: A Mathematical Proof

Posted: 25 Nov 2014 Last Revised: 04 Nov 2015
Working Paper Series
UNIST and Korea Advanced Institute of Science and Technology (KAIST)
3815.

The Latest Wave in Advanced Beta: Combining Value, Low Volatility, and Quality

Posted: 22 May 2019
Accepted Paper Series
State Street Global Advisors, State Street Corporate - State Street Global Advisors and State Street Global Advisors
3816.

The Low Risk Anomaly Revisited on High-Frequency Data

The Handbook of High Frequency Trading, Edited by Greg N. Gregoriou, Elsevier 2015
Posted: 14 Jan 2015 Last Revised: 16 Jan 2015
Working Paper Series
Ghent University, Vrije Universiteit Brussel (VUB) and Finvex Group
3817.

The Lure of the Brand: Evidence from the European Mutual Fund Industry

European Financial Management, Forthcoming
Posted: 27 Apr 2013 Last Revised: 08 Apr 2014
Accepted Paper Series
ING Investment Management, Luxembourg School of Finance, ING Investment Management and MeesPierson Investment Bank

Multiple version iconThere are 2 versions of this paper

3818.

The Market for Dynamic Hybrid Products in Germany: Concept, Risk-Return Profiles, and Market Overview

Zeitschrift für die gesamte Versicherungswissenschaft, Vol. 102, No. 5, 2013
Posted: 20 Dec 2013
Accepted Paper Series
Friedrich-Alexander University Erlangen-Nürnberg
3819.

The Maximum Diversification Index

Journal of Asset Management, 14(6), pp. 400-409, 2013
Posted: 10 Feb 2020
Accepted Paper Series
IAE Gustave Eiffel and Istanbul University
3820.

The Numéraire Property and Long‐Term Growth Optimality for Drawdown‐Constrained Investments

Mathematical Finance, Vol. 27, Issue 1, pp. 68-95, 2017
Number of pages: 28 Posted: 15 Jan 2017
Accepted Paper Series
London School of Economics & Political Science (LSE), University of Oxford and University of Technology, Sydney (UTS) - Finance Discipline Group
3821.

The Other Side of Value: The Effect of Quality on Price and Return in Real Estate

Journal of Real Estate Finance and Economics, Vol. 54, No. 3, 2017
Posted: 18 Mar 2017
Accepted Paper Series
Independent, University of Connecticut - Department of Finance and Bocconi University
3822.

The Performance of Value at Risk Models During the Crisis

Journal of Risk Model Validation, Vol. 4(1), (2010)
Posted: 28 Mar 2013 Last Revised: 11 Apr 2013
Accepted Paper Series
SAS Institute Inc., SAS Institute Inc. and SAS Institute Inc.
3823.

The Portfolio Implications of Gold Investment

Journal of Investing, Vol. 17, No. 8, 2008, https://doi.org/10.3905/joi.2008.701958
Posted: 22 May 2019
Accepted Paper Series
Rider University and Rider University
3825.

The Reaction of Bahrain Bourse to Announcement of Annual Financial Results

International Review of Business Research Papers, Vol. 12, No. 1, March 2016, pp.64-75.
Posted: 03 Jan 2020
Working Paper Series
Kingdom University
3826.

The Relative Asset Pricing Model: Towards a Unified Theory of Asset Pricing

Posted: 20 Dec 2013
Working Paper Series
AlphaEngine Global Investment Solutions, Korea Fixed Income Research Institute and Hitotsubashi University - Graduate School of International Corporate Strategy
3827.

The Relative Strength of Industries versus Countries in Global Equity Markets

Journal of Investment Management (JOIM), Third Quarter 2012
Posted: 13 Oct 2012
Accepted Paper Series
MSCI Barra and MSCI Inc.
3828.
3829.

The Single Index Model & the Construction of Optimal Portfolio: A Case of Banks Listed on NSE India

Risk governance & control: financial markets & institutions / Volume 4, Issue 2, 2014, Continued - 1
Posted: 25 May 2014 Last Revised: 21 Aug 2016
Accepted Paper Series
G. B. Pant University of Agriculture and Technology - College of Agribusiness Management and G. B. Pant University of Agriculture and Technology - College of Agribusiness Management
3830.

The Smart Beta Indexing Puzzle

Posted: 22 May 2019 Last Revised: 22 May 2019
Accepted Paper Series
Lyxor Asset Management, Lyxor Asset Management and Amundi Asset Management
3831.

The Static and Dynamic Connectedness of Environmental, Social, and Governance Investments: International Evidence

Economic Modelling, Volume 93, December 2020, Pages 112-124 Doi.org/10.1016/j.econmod.2020.08.007
Posted: 20 Aug 2020 Last Revised: 27 Aug 2020
Accepted Paper Series
Zayed University - College of Business, National and Kapodistrian University of Athens - Department of Economics and National Kapodistrian University of Athens
3832.

The Tail Risk Premia of the Carry Trades

Posted: 05 Oct 2013
Working Paper Series
Grenoble Ecole de Management
3833.

The Triumph of Mediocrity: A Case Study of 'Naïve Beta'

Journal of Portfolio Management, Forthcoming
Posted: 07 Apr 2015
Accepted Paper Series
PanAgora Asset Management, PanAgora Asset Management and PanAgora Asset Management, Inc.
3834.

The Value of Stop-Losses and Stop-Gains in Enhancing Risk-Adjusted Return

Posted: 26 Jun 2013 Last Revised: 12 Aug 2016
Working Paper Series
Florida Atlantic University - College of Business
3835.

The Value-Drivers of Risk Parity and its Component Portfolios

Posted: 23 Sep 2019
Working Paper Series
WHU - Otto Beisheim School of Management and WHU - Otto Beisheim School of Management
3836.

Thematic Indexing, Meet Smart Beta! Merging ESG into Factor Portfolios

Posted: 22 May 2019
Accepted Paper Series
State Street Global Advisors, State Street Global Advisors and State Street Global Advisors
3837.

Three-Factor Asset Pricing Model and Portfolio Holdings of Foreign Investors: Evidence from an Emerging Market – Borsa Istanbul

Economic Research - Ekonomska Istrazivanja, Vol. 28, No. 1, 467–486, 2015
Posted: 28 Jul 2018
Accepted Paper Series
Yildirim Beyazit University-Department of Banking and Finance, Bilkent University - Department of Economics and The Central Bank of the TRNC
3838.

Time Variation in Diversification Benefits of Commodity, REITs, and TIPS

Journal of Real Estate Finance and Economics, Vol. 46, No. 1, 2013, Forthcoming
Posted: 21 Dec 2012
Accepted Paper Series
Pennsylvania State University - University Park - Department of Finance and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick

Multiple version iconThere are 2 versions of this paper

3839.

Time-Varying and Spatial Herding Behavior in the U.S. Housing Market: Evidence from Direct Housing Prices

Journal of Real Estate Finance and Economics, Vol. 54, No. 4, 2017
Posted: 31 Mar 2017
Accepted Paper Series
Mercer University - Eugene W. Stetson School of Business and Economics, Independent and University of New Orleans - College of Business Administration - Department of Economics and Finance
3840.

Timing Equity Quant Positions with Shorter-Horizon Alphas

Journal of Trading, Summer 2016
Posted: 26 Feb 2016 Last Revised: 11 Jan 2019
Accepted Paper Series
ExtractAlpha
3841.

Timing Poorly: A Guide to Generating Poor Returns While Investing in Successful Strategies

Journal of Portfolio Management, Vol. 42, No. 2, 2016
Posted: 06 Feb 2015 Last Revised: 28 Dec 2016
Accepted Paper Series
Rayliant Global Advisors, Texas Tech, Rawls College of Business and Utah State University - Huntsman School of Business
3842.

To Hedge or Not to Hedge: The Slings and Arrows of Currency Risk in Minimum-Volatility Investing

The Journal of Index Investing, Fall 2014, Volume 5 (2), pp. 21-33.
Posted: 07 Oct 2013 Last Revised: 13 Sep 2014
Accepted Paper Series
Voya Investment Management and Goldman Sachs Asset Management
3843.

Traditional Optimization is Not Optimal for Leverage-Averse Investors

The Journal of Portfolio Management, Vol. 40, No. 2, Winter 2014
Posted: 02 Oct 2013 Last Revised: 05 Jun 2014
Accepted Paper Series
Jacobs Levy Equity Management and Jacobs Levy Equity Management
3844.

Transparency, Investor Information Acquisition, and Money Market Fund Risk Rebalancing During the 2011-12 Eurozone Crisis

CEPR Discussion Paper No. DP11895
Number of pages: 68 Posted: 16 Mar 2017
Working Paper Series
University of Colorado at Boulder - Department of Finance, MIT Sloan School of Management, UCSD and University of Maryland - Robert H. Smith School of Business

Multiple version iconThere are 2 versions of this paper

3845.

U.S. Municipal Yields and Unfunded State Pension Liabilities

CEPR Discussion Paper No. DP11998
Number of pages: 36 Posted: 02 May 2017
Working Paper Series
University of Amsterdam - Research Institute in Economics & Econometrics (RESAM), University of Amsterdam and Tilburg University
3846.

Understanding the Sectors of Indian Economy for Portfolio Choice

International Journal of Business Forecasting and Marketing Intelligence, Vol. 4, Forthcoming
Posted: 13 Nov 2017
Accepted Paper Series
Praxis Business School
3847.

Unemployment Risks and Optimal Retirement in an Incomplete Market

Operations Research, Forthcoming
Posted: 20 Jan 2013 Last Revised: 06 Mar 2016
Accepted Paper Series
University of Texas at Dallas - Naveen Jindal School of Management, Pohang University of Science and Technology (POSTECH) and Nottingham University Business School
3848.

Using Index ETFs for Multi-Asset-Class Investing: Shifting the Efficient Frontier Up

“Using Index ETFs for Multi-Asset Class Investing: Shifting the Efficient Frontier Up”, Pankaj Agrrawal, Journal of Index Investing, Vol. 4(2): pp. 83-94, Fall 2013., https://doi.org/10.3905/jii.2013.4.2.083
Posted: 22 May 2019 Last Revised: 22 May 2019
Accepted Paper Series
University of Maine
3849.

Valuation Effects and Long-Run Real Exchange Rate Dynamics

Journal of International Money and Finance, Vol. 51, March 2015
Posted: 24 Nov 2015
Accepted Paper Series
Independent
3850.

Value of Security Selection Versus Asset Allocation in Credit Markets

Journalof Portfolio Management, Vol. 25, No. 4, 1999
Posted: 04 Sep 2018
Accepted Paper Series
Lehman Brothers, ROBECO Group, Lehman Brothers, Robeco Asset Management and Lehman Brothers, New York