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Feasible portfolios under tracking error, β, α and utility constraints

Daly, Michael; Maxwell, Michael; Van Vuuren, Gary - In: Investment management and financial innovations 15 (2018) 1, pp. 141-153

Persistent link: https://www.econbiz.de/10012001419

Hedge fund performance evaluation using the Kalman filter

Van Vuuren, Gary; Yacumakis, R. - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 39 (2015) 3, pp. 1-23

Persistent link: https://www.econbiz.de/10011569456

Attribution of hedge fund returns using a Kalman filter

Thomson, Daniel; Van Vuuren, Gary - In: Applied economics 50 (2018) 9, pp. 1043-1058

Persistent link: https://www.econbiz.de/10011848239

Applied prospect theory : assessing the βs of M&A-intensive firms

Homan, Garth Ryan; Van Vuuren, Gary - In: Investment management and financial innovations 16 (2019) 2, pp. 236-248

Persistent link: https://www.econbiz.de/10012122260

The Capital Asset Pricing Model and Fama-French Three Factor Model in an emerging market environment

Karp, Adam; Van Vuuren, Gary - In: International business and economics research journal 16 (2017) 4, pp. 231-255

Persistent link: https://www.econbiz.de/10011965141

Spectral analysis and the death of value investing

Bezuidenhout, John-Morgan; Van Vuuren, Gary - In: Cogent economics & finance 9 (2021) 1, pp. 1-23

This study explores the redundancy of the value premium by conducting a Fourier analysis. The results illustrate periodicity in the value premium and merges the Adaptive Market Hypothesis with the Efficient Market hypothesis. The value premium is considered to be redundant due to structural...

Persistent link: https://www.econbiz.de/10013184434