Showing 1 - 10 of 17
Persistent link: https://www.econbiz.de/10011900560
Persistent link: https://www.econbiz.de/10014233078
Persistent link: https://www.econbiz.de/10012195883
Main description: Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric...
Persistent link: https://www.econbiz.de/10014487997
Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations,...
Persistent link: https://www.econbiz.de/10012684398
This paper describes an empirical study of shortfall optimization using Barra fundamental factors. We compare minimum shortfall to minimum variance portfolios in the US, UK, and Japanese equity markets using Barra Style Factors (Value, Growth, Momentum, etc.). We show that minimizing shortfall...
Persistent link: https://www.econbiz.de/10010751538
Persistent link: https://www.econbiz.de/10011781825
Persistent link: https://www.econbiz.de/10013372959
Persistent link: https://www.econbiz.de/10013448330
Persistent link: https://www.econbiz.de/10011104817