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The dual contributions of information instruments in return models : magnitude and direction predictability

Korkie, Robert M.; Sivakumar, Ranjini; Turtle, Harry J. - In: Journal of empirical finance 9 (2002) 5, pp. 511-523

Persistent link: https://www.econbiz.de/10001712017

A note on the analytics and geometry of limiting mean : variance investment opportunity sets

Korkie, Robert M.; Turtle, Harry J. - In: Review of quantitative finance and accounting 9 (1997) 3, pp. 289-300

Persistent link: https://www.econbiz.de/10001591118

Tests of conditional asset pricing with time-varying moments and risk prices

Turtle, Harry J. - In: Journal of financial and quantitative analysis : JFQA 29 (1994) 1, pp. 15-29

Persistent link: https://www.econbiz.de/10001166028

A contingent claim analysis of closed-end fund premia

Korkie, Robert M.; Nakamura, Masao; Turtle, Harry J. - In: International review of financial analysis 10 (2001) 4, pp. 365-394

Persistent link: https://www.econbiz.de/10001651756

Measuring performance in a dynamic world : conditional meanvariance fundamentals

Jha, Ranjini; Korkie, Robert M.; Turtle, Harry J. - In: Journal of banking & finance 33 (2009) 10, pp. 1851-1859

Persistent link: https://www.econbiz.de/10003886788

On the market price of risk

Korkie, Robert M.; Turtle, Harry J. - In: Mathematics and financial economics 15 (2021) 4, pp. 675-718

Persistent link: https://www.econbiz.de/10012616854

Limiting investment opportunity sets, asset pricing, and the Roll critique

Korkie, Robert M.; Turtle, Harry J. - In: Journal of investment management : JOIM 22 (2024) 1, pp. 4-14

Persistent link: https://www.econbiz.de/10014546322

Limiting Investment Opportunity Sets, Asset Pricing, and the Roll Critique

Korkie, Robert M.; Turtle, Harry J. - 2023

We conduct an experiment in which assets of lower volatility risk are sequentially added to the investment opportunity set (IOS) of a fixed investment horizon. Econometric spanning tests show that the limiting IOS is the linear boundaries defined by the limiting IOS asymptotes, implying more...

Persistent link: https://www.econbiz.de/10014265094

Investment horizon risk and volatility metrics

Korkie, Robert M. - In: Journal of investment management : JOIM 15 (2017) 4, pp. 20-29

Persistent link: https://www.econbiz.de/10011914879

Market line deviations and firm size

Korkie, Robert M. - In: Geld, Banken und Versicherungen : Beiträge zum ... … 3 (1985) 2, pp. 921-934

Persistent link: https://www.econbiz.de/10001009787