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Econometric Modeling: Capital Markets - Portfolio Theory eJournal

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3851.

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
3853.

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
3854.

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
3855.

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.
3856.
3857.

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
3858.

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
3859.

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 and Kapodistrian University of Athens
3860.

The Tail Risk Premia of the Carry Trades

Posted: 05 Oct 2013
Working Paper Series
Grenoble Ecole de Management
3861.

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.
3862.

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
3863.

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
3864.

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
3865.

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
3866.

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

3867.

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
3868.

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
3869.

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
3870.

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
3871.

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
3872.

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

3873.

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
3874.

Understanding Machine Learning for Diversified Portfolio Construction by Explainable AI

Posted: 25 Feb 2020
Working Paper Series
Munich Reinsurance Company, Financial Solutions, Munich Reinsurance Company, Financial Solutions, Munich Re, NVIDIA GmbH and Zurich University of Applied Sciences
3875.

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
3876.

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
3877.

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
3878.

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
3879.

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
3880.

Value Ranked Equity Portfolios via Entropy Pooling

Journal of Investment Strategies 7(3), 1-24
Posted: 23 Aug 2017 Last Revised: 23 Sep 2018
Accepted Paper Series
affiliation not provided to SSRN
3881.

Valuing Active Managers, Fees, and Fund Discounts

Financial Analysts Journal, Vol. 57, No. 3, 2001, Fordham University Schools of Business Research Paper No. 2737415
Posted: 25 Feb 2016 Last Revised: 25 Apr 2016
Accepted Paper Series
AnswersToGo and Fordham University - Finance Area
3882.

Vargamma: A Unified Measure of Portfolio Risk

Journal of Investment Management (JOIM), First Quarter 2013
Posted: 20 May 2013
Accepted Paper Series
Independent
3883.

Venture Capital Optimal Investment Portfolio Strategies Selection in Diffusion - Type Financial Systems in Global Capital Markets with Nonlinearities

Posted: 12 Apr 2015
Working Paper Series
James Cook University, Townsville, Queensland, Australia and V. N. Karazin Kharkov National University
3884.

Vice versus Virtue Investing Around the World

Review of Managerial Science, Forthcoming
Posted: 03 May 2015
Accepted Paper Series
University of Maine - Maine Business School and University of Regensburg - Center of Finance
3885.

Volatility and Correlation Timing: The Role of Commodities

Posted: 16 Aug 2017
Working Paper Series
Cass Business School,City, University of London and Cass Business School, City, University of London
3886.

Volatility Dependent Structured Products

Swiss Finance Institute Research Paper No. 19-64, Forthcoming in The Journal of Investing
Posted: 23 Dec 2019 Last Revised: 23 Nov 2020
Accepted Paper Series
University of Trier - Faculty of Economics, University of Zurich - Department of Banking and Finance and University of Trier
3887.

Volatility Risk Premia and Exchange Rate Predictability

CEPR Discussion Paper No. DP9549
Number of pages: 80 Posted: 09 Jul 2013
Working Paper Series
Imperial College Business School, Imperial College London and University of Cambridge - Judge Business School

Multiple version iconThere are 2 versions of this paper

3888.

Volatility-Managed Portfolio: Does It Really Work?

Journal of Portfolio Management, 46(1), 2019
Posted: 13 Nov 2018 Last Revised: 07 Dec 2019
Accepted Paper Series
Cornell University, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and Washington University in St. Louis - John M. Olin Business School
3889.

What are the Challenges and Problems Facing China's Outward Portfolio Investment: Evidence from the Qualified Domestic Institutional Investor Scheme

HKIMR Working Paper No.31/2012
Posted: 27 Dec 2012
Working Paper Series
Hong Kong Monetary Authority and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
3890.

What Drives Active Share? Active Stock Selection or Active Stock Weights

Journal of Investment Management (JOIM), 2020
Posted: 21 Mar 2020
Accepted Paper Series
York University and Ivey Business School, Western University
3891.

What Drives Flight to Quality?

Accounting & Finance, Vol. 58, pp. 529-571, 2018
Number of pages: 43 Posted: 23 Oct 2018
Accepted Paper Series
University of Hamburg and University of Hamburg - Faculty of Economics and Business Administration

Multiple version iconThere are 2 versions of this paper

3892.

What Drives Variation in the International Diversification Benefits? A Cross-Country Analysis

Posted: 07 Sep 2019
Working Paper Series
Central Michigan University - Department of Finance and Law and University of Missouri, Columbia
3893.

What's in the News? Using News Sentiment Momentum for Tactical Asset Allocation

Journal of Portfolio Management, Vol. 41 (2): pp. 100-112.
Posted: 21 May 2019 Last Revised: 21 May 2019
Accepted Paper Series
University of Zurich - Department of Banking and Finance, UBS AG and UBS AG
3894.

What's in Your Smart Beta Portfolio? A Fundamental and Macroeconomic Analysis

Posted: 08 Jan 2016
Working Paper Series
CFA Institute and S&P Dow Jones Indices
3895.

When Do Derivatives Add Value in Pension Fund Asset Allocation?

Rotman International Journal of Pension Management, Vol. 6, No. 1, 2013
Posted: 29 May 2013
Accepted Paper Series
Algemene Pensioen Groep (APG), Cardano Risk Management and University of Twente - Department of Applied Mathematics
3896.

When to Own Stocks and When to Own Gold

The Journal of Wealth Management Winter 2018, 21 (3) 26-36; DOI/10.3905/jwm.2018.21.3.026
Posted: 06 Mar 2020
Accepted Paper Series
Cane Island Alternative Advisors
3897.

Which Portfolio is Better? A Discussion of Several Possible Comparison Criteria

Posted: 14 Jun 2018
Working Paper Series
Instituto de Estudios Superiores de Administración (IESA) and Instituto de Estudios Superiores de Administración (IESA)
3898.

Who Pays Attention to SEC Form 8-K?

Kelley School of Business Research Paper No. 17-24
Posted: 29 Mar 2017
Working Paper Series
3899.

Worst-Case Optimal Investment with a Random Number of Crashes

Statistics and Probability Letters, Volume 90, pp. 140-148, July 2014.
Posted: 21 Nov 2013 Last Revised: 02 May 2016
Accepted Paper Series
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Gothenburg University and Dublin City University - School of Mathematical Sciences
3900.

Worst-Case Portfolio Optimization in a Market with Bubbles

International Journal of Theoretical and Applied Finance, Vol. 19, No. 2, 1650009 (36 pages), 2016.
Posted: 04 Sep 2013 Last Revised: 03 May 2016
Accepted Paper Series
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Gothenburg University and Dublin City University - School of Mathematical Sciences