Search Results - subject:"Portfolio Optimization"

Combining factors

Reschenhofer, Christoph - In: Economics letters 235 (2024), pp. 1-4

Persistent link: https://www.econbiz.de/10015071203

The momentum ambiguity and investor trading behavior

Wang, Lunyi; Yang, Shiqi; Zhao, Sibo - In: Economics letters 235 (2024), pp. 1-7

Persistent link: https://www.econbiz.de/10015071330

Econometric identification of the attainable maximal sharpe ratio by optimal shrinkage of the cross-section of asset returns

Chen, Yuting; Potì, Valerio - In: Economics letters 235 (2024), pp. 1-4

Persistent link: https://www.econbiz.de/10015071365

Cross-country factor momentum

Fieberg, Christian; Metko, Daniel; Zaremba, Adam - In: Economics letters 235 (2024), pp. 1-4

Persistent link: https://www.econbiz.de/10015071373

Synergizing quantitative finance models and market microstructure analysis for enhanced algorithmic trading strategies

Mengshetti, Om; Gupta, Kanishk; Zade, Nilima; Kotecha, Ketan - In: Journal of open innovation : technology, market, and … 10 (2024) 3, pp. 1-11

In today's complex financial markets, "Algorithmic Trading" has become very important. The study delves into the amalgamation of four pivotal indicators - Relative Strength Index (RSI), Exponential Moving Average (EMA), Volume-Weighted Average Price (VWAP), and Moving Average...

Persistent link: https://www.econbiz.de/10015071775

Issuer term variability, bond yield spreads, and reaching for yield

Kim, Gi Hyun; Massa, Massimo - 2024 - Revised version of 2022/41/FIN

Persistent link: https://www.econbiz.de/10015071827

Computational dynamics of information ratios

Auer, Benjamin R.; Marohn, Marcel - In: Economics letters 236 (2024), pp. 1-7

Persistent link: https://www.econbiz.de/10015072066

Sustainable investments in the face of social unrest and risk : a new perspective on corporate social responsibility

Oga, Yutaro; Ito, Kazuya; Takashima, Ryuta - In: Economics letters 236 (2024), pp. 1-5

Persistent link: https://www.econbiz.de/10015072232

The contraction of Chinese shadow banking and corporate investment behavior : evidence from the background of the "New Rules on asset management"

Ji, Zhibin; Ye, Naide; Kong, Dongmin - In: China economic quarterly international : CEQI 4 (2024) 2, pp. 119-132

Employing the exogenous scenario of the "New Rules on Asset Management" in April 2018, this paper tries to explore the impact of the contraction of Chinese shadow banking on corporate investment behavior. This paper finds that the regulation leads to a 18.3% decrease in capital expenditure for...

Persistent link: https://www.econbiz.de/10015073031

Hedging investment-grade and high-yield bonds with credit VIX

Bouri, Elie; Alsagr, Naif - In: Economics letters 237 (2024), pp. 1-7

Persistent link: https://www.econbiz.de/10015073875