P.O. Box 90153
Tilburg, 5000 LE
Tilburg University - Department of Finance
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International financial markets, currency risk, mean-variance efficiency, conditioning information
Futures contracts, Commodities, Risk premia, Portfolio sorts
Style Analysis, Performance Measurment, Mutual Funds, Portfolio Choice
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP3181.
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Style analysis, performance evaluation, portfolio choice
Asset pricing, Commodity futures markets, Commodity index investment, Commodity risk premium, Hedging
International financial markets, style analysis, EMU, currency risk, financial market integration
Portfolio Management, Asset pricing, Consumption and Investment decisions
currency risk, hedging, forwards, international asset pricing, portfolio choice
inflation, time-varying inflation risk premium, inflation hedging, cross-sectional asset pricing, nominal-real covariance
Inflation, (Time-Varying) Inflation Risk Premium, Inflation Hedging, Cross-Sectional Asset-Pricing, TIPS, Nominal-Real Covariance
futures, consumption-based model, ultimate consumption risk, production-based model
Currency risk, Currency risk hedging
Portfolio choice, estimation error, international finance
Multi-period asset allocation, hedge funds, lockup period
Hedge funds, lockup period, multi-period asset allocation, timing portfolios
Diversification, Stock Picking, Modern Portfolio Theory, Return Predictability
Hedge funds, funds of funds, fund investment
time-series predictability, cross-sectional predictability, asset pricing tests, market frictions
Economic hedging portfolios, risk aversion-weighted hedging, state-dependent utility, risk premiums
mean reversion, strategy preference, 1/N, predictability, testing Sharpe equivalence
International diversification, Local factors, Factor funds
International Financial Markets, Mean-variance Efficiency, Style analysis, EMU
Skewness, Value-at-Risk, Expected Shortfall, Portfolio Choice, Asset Pricing
File name: DP3501.
Portfolio choice, real estate, home ownership
File name: DP3102.
Emerging markets, asset pricing, market integration
Out-of-Sample Predictability, Asset Pricing Tests, Market Frictions
hedge funds; mutual funds; writing options; performance evaluation; mean-variance-skewness spanning; prudence; portfolio choice
Philanthropy, Asset allocation, art, wine, luxary goods markets
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