Search Results - subject:"Trading strategies"

Long-term prior return patterns in stock and sector returns in India

Sehgal, Sanjay; Jain, Sakshi - In: Journal of advances in management research : JAMR 11 (2014) 2, pp. 192-210

Persistent link: https://www.econbiz.de/10010395297

Investor overreaction in Asian and US stock markets : evidence from the 2008 financial crisis

Tai, Yu-nan - In: The international journal of business and finance … 8 (2014) 3, pp. 71-93

Persistent link: https://www.econbiz.de/10010241914

Can we forecast the implied volatility surface dynamics of equity options? : predictability and economic value tests

Bernales, Alejandro; Guidolin, Massimo - In: Journal of banking & finance 46 (2014), pp. 326-342

Persistent link: https://www.econbiz.de/10010468417

Model-free CPPI

Schied, Alexander - In: Journal of economic dynamics & control 40 (2014), pp. 84-94

Persistent link: https://www.econbiz.de/10010424446

Optimal long-term allocation with pension fund liabilities

Jondeau, Eric; Rockinger, Michael - 2014

We build a macroeconomic model for Switzerland, the Euro Area, and the USA that drives the dynamics of several asset classes and the liabilities of a representative Swiss (defined-contribution) pension fund. This encompassing approach allows us to generate correlations between returns on assets...

Persistent link: https://www.econbiz.de/10010442892

Asymmetric beta comovement and systematic downside risk

Jondeau, Eric; Zhang, Qunzi - 2014

In this paper, we document evidence that downside betas tend to comove more than upside betas during a financial crisis, but upside betas tend to comove more than the downside betas during financial booms. We find that the asymmetry between Downside-Beta Comovement and Upside-Beta Comovement is...

Persistent link: https://www.econbiz.de/10010442899

Momentum profits and conditional time-varying systematic risk

Morelli, David - In: Journal of international financial markets, … 29 (2014), pp. 242-255

Persistent link: https://www.econbiz.de/10010412145

Optimal Portfolio Liquidation for CARA Investors

Schied, Alexander; Schöneborn, Torsten - Volkswirtschaftliche Fakultät, … - 2007

We consider the finite-time optimal portfolio liquidation problem for a von Neumann-Morgenstern investor with constant absolute risk aversion (CARA). As underlying market impact model, we use the continuous-time liquidity model of Almgren and Chriss (2000). We show that the expected utility of...

Persistent link: https://www.econbiz.de/10005835745

Fractal Properties of the Financial Market

Vácha, Lukáš - In: Acta Oeconomica Pragensia 2007 (2007) 4, pp. 49-55

worst out algorithm (WOA). The WOA replaces periodically the trading strategies that have the lowest performance level of …

Persistent link: https://www.econbiz.de/10005036335

Wavelet Decomposition of the Financial Market

Vácha, Lukáš; Vošvrda, Miloslav - In: Prague Economic Papers 2007 (2007) 1, pp. 38-54

. The WOA replaces periodically the trading strategies that have the lowest performance level of all strategies presented on … of strategies. This paper shows, by wavelets applications, strata influences of the trading strategies with the WOA. …

Persistent link: https://www.econbiz.de/10005036507