3801.
The Diversification Delta: A Different Perspective
CIFR Paper No. 047/2014, https://doi.org/10.3905/jpm.2017.43.4.112
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
There are 2 versions of this paper
The Dynamic Black-Litterman Approach to Asset Allocation
Bank of England Working Paper No. 596
Number of pages: 35
Posted: 30 Apr 2016
Downloads
288
The Dynamic Black-Litterman Approach to Asset Allocation
European Journal of Operational Research, Forthcoming
Posted: 16 Jan 2017
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
There are 3 versions of this paper
The Economic Value of Patent Portfolios
CEPR Discussion Paper No. DP9264
Number of pages: 33
Posted: 01 Feb 2013
Downloads
6
The Economic Value of Patent Portfolios
Journal of Economics & Management Strategy, Vol. 26, Issue 4, pp. 735-756, 2017
Number of pages: 22
Posted: 02 Nov 2017
The Economic Value of Patent Portfolios
Journal of Economics and Management Strategy, DOI: 10.1111/jems.12210, Forthcoming
Posted: 12 May 2017
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
There are 2 versions of this paper
The Elephant in the Ground: Managing Oil and Sovereign Wealth
CAMA Working Paper No. 62/2014
Number of pages: 62
Posted: 14 Oct 2014
Last Revised: 16 Oct 2014
Downloads
59
The Elephant in the Ground: Managing Oil and Sovereign Wealth
CEPR Discussion Paper No. DP10188
Number of pages: 63
Posted: 06 Oct 2014
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
There are 3 versions of this paper
The High Volume Return Premium and Changes in Investor Recognition
Number of pages: 39
Posted: 15 Feb 2014
Downloads
103
The High-Volume Return Premium and Changes in Investor Recognition
Pacific-Basin Finance Journal, Forthcoming
Number of pages: 36
Posted: 20 Jul 2018
Downloads
39
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
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
There are 2 versions of this paper
The Home Bias in Equities and Distribution Costs
Bundesbank Series 1 Discussion Paper No. 2010,24
Number of pages: 64
Posted: 08 Jun 2016
Downloads
13
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
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
There are 2 versions of this paper
The Lure of the Brand: Evidence from the European Mutual Fund Industry
European Financial Management, Vol. 21, Issue 5, pp. 867-904, 2015
Number of pages: 38
Posted: 19 May 2020
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
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
3824.
The Profitability of Contrarian Stock Pairs Identified Using a Partial Adjustment Model: An Evaluation of Chinese and Australian Stocks
Posted: 27 Jun 2013
Working Paper Series
Curtin 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.
The Retirement Glidepath: An International Perspective
Posted: 21 May 2019
Accepted Paper Series
IESE Business School
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
There are 2 versions of this paper
Time Variation in Diversification Benefits of Commodity, REITs, and TIPS
Number of pages: 58
Posted: 17 Mar 2006
Last Revised: 24 Mar 2011
Downloads
295
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
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
There are 2 versions of this paper
Investor Information Acquisition and Money Market Fund Risk Rebalancing During the 2011-12 Eurozone Crisis
Robert H. Smith School Research Paper No. RHS 2886171
Number of pages: 78
Posted: 16 Dec 2016
Last Revised: 15 Dec 2019
Downloads
265
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
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
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