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Time lag dependence, cross-correlation and risk analysis of US energy and non-energy stock portfolios

Hernandez, Jose Arreola; Janabi, Mazin A. M. al; … - In: The journal of asset management 16 (2015) 7, pp. 467-483

Persistent link: https://www.econbiz.de/10011455734

GHAUS asset allocation

Estrada, Javier - In: The journal of asset management 17 (2016) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10011485122

The dynamics of volatility and correlation during periods of crisis : implications for active asset management

Esposito, Marcello - In: The journal of asset management 17 (2016) 3, pp. 135-140

Persistent link: https://www.econbiz.de/10011485140

Equity style allocation : a nonparametric approach

Subbiah, Mohan; Fabozzi, Frank J. - In: The journal of asset management 17 (2016) 3, pp. 141-164

Persistent link: https://www.econbiz.de/10011485142

An anatomy of global risk premiums

Boon, Ling-Ni; Ielpo, Florian - In: The journal of asset management 17 (2016) 4, pp. 229-243

Persistent link: https://www.econbiz.de/10011504216

Disentangling rebalancing return

Hallerbach, Winfried G. - In: The journal of asset management 15 (2014) 5, pp. 301-316

Persistent link: https://www.econbiz.de/10010476237

Modeling manager confidence in forecasted excess returns under active portfolio management

Birge, John R.; Chávez-Bedoya, Luis - In: The journal of asset management 15 (2014) 6, pp. 353-365

Persistent link: https://www.econbiz.de/10010476259

Tangent portfolio weights without explicitly specified expected returns

Glabadanidis, Paskalis - In: The journal of asset management 15 (2014) 3, pp. 177-190

Persistent link: https://www.econbiz.de/10010415936

Generalized risk premia

Schneider, Paul - 2014

This paper develops an optimal trading strategy explicitly linked to an agent's preferences and assessment of the distribution of asset returns. The price of this strategy is a portfolio of implied moments, and its expected excess returns naturally accommodate compensation for higher-order...

Persistent link: https://www.econbiz.de/10010412884

Constructing 130/30-portfolios with the Omega ratio

Gilli, Manfred; Schumann, Enrico; Tollo, Giacomo di; … - In: The journal of asset management 12 (2011) 2, pp. 94-108

Persistent link: https://www.econbiz.de/10009232559

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