De Boelelaan 1105
Gustav Mahlerplein 117
Amsterdam, 1082 MS
VU University Amsterdam - Faculty of Economics and Business Administration
Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)
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Factor Investing, European Data, Optimization, Timing
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP10824.
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European data, factor investing, optimization, timing
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: EUFM.
portfolio management, factor investing, diversification, optimisation
Hedge Funds, Financial Stability
Factor Investing, Regulatory Perspectives, Checklist, Case Studies
hedge funds, serial correlation, systemic risk, VaR, Pareto distribution
Hedge funds, Serial correlation,Systemic risk, VaR, Pareto distribution
Banken, Risicomanagement, Behavioural Finance
systemic risk, banks, Extreme Value Theory, too big to fail
Momentum, trading volume, European shares
Momentum, shares, Australia, New Zealand, investment strategy
Corporate Sponsorship, Beijing Olympics, Event Study
Stock Splits, Event Study
Cumulative prospect theory; investor sentiment; risk-neutral densities; call options
Contagion Risk, Extreme Value Theory, Banks, Australia
Short sale ban; jump risk; risk-neutral density; implied volatility skew; contagion risk
Price momentum, European stock markets, overconfidence, self-attribution
Extreme value theory, Asymmetric tails, Prospective utility
Celebrity Endorsement, Event Study, Stock Returns
bear raids, short-selling bans, financial institutions’ risk, systemic risk, leverage capital requirements, Extreme Value Theory
agricultural commodities, extreme value theory, heavy tails, risk management
Hedge funds, Serial correlation, Systemic risk, VaR, Pareto distribution
Anchoring; Rational Bias; Economic Surprises; Predictability; Stocks, Bonds; Currencies; Commodities; Machine learning
Sentiment, implied volatility skew, equity-risk premium, reversals, predictability
equity index strategies, risk-return comparisons, investment portfolio
File name: eufm603.
tail risk, investment strategy, technical analysis
systemic risk, short selling, bank’s risk, Extreme Value Theory
Momentum, stock returns
Australia, banking, contagion risk
policy optimization, lexicographic ordering
exchnage rate regime, tails, distribution
psychological barriers, stock markets
official intervention, target zones
EMS currencies, fat tails, realignment probability
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