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How inefficient is the 1/N strategy for a factor investor?
Khang, Kevin; Picca, Antonio; Zhang, Shaojun; Zhu, Minzhi - In: Journal of investment management : JOIM 21 (2023) 1, pp. 103-119
Persistent link: https://www.econbiz.de/10014372586
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The shadow price of liquidity in asset allocation : a case study
Van Luu, Bac; Sharaiha, Yazid M.; Doskov, Nikolay; … - In: Journal of investment management : JOIM 12 (2014) 2, pp. 14-31
Persistent link: https://www.econbiz.de/10010388914
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Averaging across asset allocation models
Schanbacher, Peter - In: Jahrbücher für Nationalökonomie und Statistik 235 (2015) 1, pp. 61-81
Persistent link: https://www.econbiz.de/10011430243
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An active asset management investment process for drawdown-averse investors
Reveiz-Herault, Alejandro - In: Intelligent systems in accounting finance and … 23 (2016) 1/2, pp. 85-96
Persistent link: https://www.econbiz.de/10011668115
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Diversification with risk factors and investable hedge fund indices
Boigner, Philip; Gadzinski, Gregory - In: The journal of asset management 16 (2015) 2, pp. 101-116
Persistent link: https://www.econbiz.de/10011411941
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Portfolio optimization for a large investor under partial information and price impact
Eksi, Zehra; Ku, Hyejin - In: Mathematical methods of operations research 86 (2017) 3, pp. 601-623
Persistent link: https://www.econbiz.de/10011793402
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A review on drawdown risk measures and their implications for risk management
Geboers, Hans; Depaire, Benoît; Annaert, Jan - In: Journal of economic surveys 37 (2023) 3, pp. 865-889
Persistent link: https://www.econbiz.de/10014337978
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Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? : portfolio construction from the perspective of a Polish investor
Latoszek, Michał; Ślepaczuk, Robert - In: Economics and business review 6/20 (2020) 1, pp. 46-81
Persistent link: https://www.econbiz.de/10012550231
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Review on efficiency and anomalies in stock markets
Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51
The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...
Persistent link: https://www.econbiz.de/10012237439