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Year of publication
Subject
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Black and Litterman approach 2 Institutional frictions 2 Market segmentation 2 Negatively skewed risk 2 TAA 2 Tracking error constraints 2 asset returns 2 error-constrained portfolios 2 multivariate GARCH models 2 tactical asset allocation 2 tracking error constraints 2 Financial investment 1 Kapitalanlage 1 Marktsegmentierung 1 Portfolio selection 1 Portfolio-Management 1 Theorie 1 Theory 1
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Undetermined 2
Type of publication
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Article 4
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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Undetermined 3 English 1
Author
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He, Zhiguo 2 Palomba, Giulio 2 Xiong, Wei 2
Published in...
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Global Business and Economics Review 2 Journal of Financial Economics 1 Journal of financial economics 1
Source
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RePEc 3 ECONIS (ZBW) 1
Showing 1 - 4 of 4
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Delegated asset management, investment mandates, and capital immobility
He, Zhiguo; Xiong, Wei - In: Journal of Financial Economics 107 (2013) 2, pp. 239-258
. These effects motivate narrow mandates and tight tracking error constraints to most fund managers except those with …
Persistent link: https://www.econbiz.de/10010616812
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Cover Image
Delegated asset management, investment mandates, and capital immobility
He, Zhiguo; Xiong, Wei - In: Journal of financial economics 107 (2013) 2, pp. 239-258
Persistent link: https://www.econbiz.de/10009719743
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Cover Image
Multivariate GARCH models and the Black-Litterman approach for tracking error constrained portfolios: an empirical analysis
Palomba, Giulio - In: Global Business and Economics Review 10 (2008) 4, pp. 379-413
In a typical tactical asset allocation setup, managers generally make their choices with the aim of beating a benchmark portfolio. In this context, the pure Markowitz (1959) strategy does not take two aspects into account: asset returns often show changes in volatility and managers' decisions...
Persistent link: https://www.econbiz.de/10005753865
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Cover Image
Multivariate GARCH models and the Black-Litterman approach for tracking error constrained portfolios: an empirical analysis
Palomba, Giulio - In: Global Business and Economics Review 10 (2008) 4, pp. 379-413
In a typical tactical asset allocation setup, managers generally make their choices with the aim of beating a benchmark portfolio. In this context, the pure Markowitz (1959) strategy does not take two aspects into account: asset returns often show changes in volatility and managers' decisions...
Persistent link: https://www.econbiz.de/10008538871
Saved in:
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