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  • Search: subject:"positional risk aversion"
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Year of publication
Subject
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Big Data 2 Big data 2 Portfolio selection 2 Portfolio-Management 2 Risikoaversion 2 Risk aversion 2 Theorie 2 Theory 2 Anlageverhalten 1 Behavioural finance 1 Equally Weighted Portfolio 1 Factor Model 1 Investment Fund 1 Investmentfonds 1 Momentum 1 Positional Good 1 Positional Risk Aversion 1 Positional good 1 Rank 1 Robust Portfolio Management 1 equally weighted portfolio 1 factor model,big data 1 fund tournament 1 momentum 1 positional risk aversion 1 rank 1 reversal 1 robust portfolio management 1
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Undetermined 2
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 2
Author
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Gagliardini, Patrick 2 Gouriéroux, Christian 2 Rubin, Mirco 2
Published in...
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Journal of financial econometrics 1 Research paper series / Swiss Finance Institute 1 Swiss Finance Institute Research Paper 1
Source
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ECONIS (ZBW) 2
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Positional portfolio management
Gagliardini, Patrick; Gouriéroux, Christian; Rubin, Mirco - In: Journal of financial econometrics 19 (2021) 4, pp. 650-706
Persistent link: https://www.econbiz.de/10012654983
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Cover Image
Positional portfolio management
Gagliardini, Patrick; Gouriéroux, Christian; Rubin, Mirco - 2014 - This version: March 2014
We study positional portfolio management strategies in which the manager maximizes an expected utility function written on the cross-sectional rank (position) of the portfolio return. The objective function reflects the manager's goal to be well-ranked among competitors. To implement positional...
Persistent link: https://www.econbiz.de/10010338730
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