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Mean-Variance versus 1/N: What if we can forecast? (Updated 22nd December 2013)

Allen, D.; Lizieri, C.; Satchell, S. - Faculty of Economics, University of Cambridge - 2012

Mean-variance optimisation has been roundly criticised by financial economists and practitioners alike, leading many to advocate a simple 1/N weighting heuristic. We investigate the performance of the Markowitz technique conditional on investor forecasting ability. Using a novel analytical...

Persistent link: https://www.econbiz.de/10010740268

The duration derby : a comparison of duration based strategies in asset liability management

Zheng, Harry (contributor); Thomas, Lyn C. (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001599248

What moves stock markets? : Evidence that UK stock prices deviate from fundamentals

Allen, David E. (contributor); Yang, Wenling (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001565300

Effects of bank funds management activities on the disintermediation of bank deposits

Allen, David E. (contributor); Parwada, Jerry T. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001770510

Some evidence on the information content of undisclosed limit orders on the ASX

Aitken, Michael J. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001770518

Performance benchmarking Australian fixed interest funds : some optimal factors

Allen, David E. (contributor); Soucik, Victor (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001770525

Are bank deposits and bank-affiliated managed funds close substitutes?

Allen, David E. (contributor); Parwada, Jerry T. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001730505

Performance benchmarking managed funds : Australian fixed interest funds

Soucik, Victor (contributor); Allen, David E. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001730509

Some statistical models for durations and their applications in finance

Peiris, Shelton (contributor); Allen, David E. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001730512

Applications of recursive estimation methods in statistical process control

Peiris, S.; Thavaneswaran, A.; Allen, David E.; Mellor, … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001791360