Fürst Franz Josef Strasse
Vaduz, 9490
Liechtenstein
http://www.lars-kaiser.org
University of Liechtenstein
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Value, Growth, Momentum, Morningstar Style Box, Sustainable performance, ESG integration, ESG materiality, Risk-mitigation hypothesis
cross-sectional volatility, cross-sectional skewness, cross-sectional kurtosis, principal components, return dispersion, predictability of stock returns, out-ofsample predictability, equity premium
portfolio rotation; market portfolio; market signal; value-weighting; equal-weighting; timing
ESG, sustainable investing, ESG momentum
Momentum; Currency; Hedging; Transaction Costs; Switzerland
enhanced indexing, full replication, sampling, risk factor decomposition, benchmark choice, norm constraints
Reuters Global Asset Allocation Poll, Investment Professionals, Home Bias, Equity Bias, Implied Risk Aversion, Diversification, Portfolio Reallocation, TAA, SAA, ICAPM
enhanced indexing, full replication, sampling, holdings overlap, Bray-Curtis dissimilarity, dynamic norm constraints
Sukuk, Islamic Finance, Securitisation, Islamic Bonds, Alternative Asset Classes, Sustainable Investments, Shari’ah Compliant Securities, Mixed Asset Portfolio
enhanced indexing, full replication, sampling, cross-sectional variance, dispersion, active share, tracking error
out-of-sample return predictability, industry portfolios, CAPM, empirical mean, market implied returns
Livingston survey, return prediction, academics, bankers, fed
Bayesian portfolio construction, Black-Litterman, downside risk, enhanced indexing, goodness-of-fit, random sampling
Public Trust, Portfolio Choice, Asset Pricing, Emerging Markets, Developed Markets
Asset Pricing; Size; Value; Germany; Fama; French; Calendar Effects