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Subject
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Anlageverhalten 2 Behavioural finance 2 Capital income 2 Combined portfolio strategies 2 Estimation risk 2 Kapitaleinkommen 2 Portfolio selection 2 Portfolio-Management 2 Basis 1 Basis-Momentum 1 Capital market returns 1 Commodities 1 Commodity derivative 1 Commodity exchange 1 Commodity market 1 Commodity return predictability 1 Diversification 1 Diversifikation 1 Estimation 1 Factor premia 1 Forecasting model 1 Großbritannien 1 Kapitalmarktrendite 1 Mean-variance timing 1 Mean–variance timing 1 Momentum 1 Prognoseverfahren 1 Risikoprämie 1 Risk premium 1 Rohstoffderivat 1 Rohstoffmarkt 1 Schätzung 1 Theorie 1 Theory 1 United Kingdom 1 Variance timing 1 Warenbörse 1 Welt 1 World 1
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Article 3
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 1
Author
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Fletcher, Jonathan 2 Sakkas, Athanasios 1 Tessaromatis, Nikolaos P. 1
Published in...
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International Review of Financial Analysis 1 International review of financial analysis 1 Journal of banking & finance 1
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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Factor based commodity investing
Sakkas, Athanasios; Tessaromatis, Nikolaos P. - In: Journal of banking & finance 115 (2020), pp. 1-19
Persistent link: https://www.econbiz.de/10012489156
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Do optimal diversification strategies outperform the 1/N strategy in U.K. stock returns?
Fletcher, Jonathan - In: International review of financial analysis 20 (2011) 5, pp. 375-385
Persistent link: https://www.econbiz.de/10009492081
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Do optimal diversification strategies outperform the 1/N strategy in U.K. stock returns?
Fletcher, Jonathan - In: International Review of Financial Analysis 20 (2011) 5, pp. 375-385
This paper examines whether optimal diversification strategies outperform the 1/N strategy in U.K. stock returns. The study focuses on the performance of recent strategies developed by Tu and Zhou (2011) and Kirby and Ostdiek (2010). I find that a number of optimal asset allocation strategies...
Persistent link: https://www.econbiz.de/10010577781
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