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Predictable return distributions

Pedersen, Thomas Q. - In: Journal of forecasting 34 (2015) 2, pp. 114-132

Persistent link: https://www.econbiz.de/10011305289

A survey on the four families of performance measures

Caporin, Massimiliano; Jannin, Grégory M.; Lisi, Francesco - In: Journal of economic surveys 28 (2014) 5, pp. 917-942

Persistent link: https://www.econbiz.de/10011293755

Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression

Steen, Marie; Westgaard, Sjur; Gjølberg, Ole - In: The journal of risk model validation 9 (2015) 2, pp. 49-78

Persistent link: https://www.econbiz.de/10011326305

Picking through the alpha Graveyard correcting for survivorship bias in investment product universes

Allen, Gregory C.; Cliff, Ivan S.; Meerschaert, Walter J. - In: Journal of investment management : JOIM 16 (2018) 3, pp. 46-57

Persistent link: https://www.econbiz.de/10011923027

The distribution of cross sectional momentum returns

Kwon, Oh Kang; Satchell, Stephen - In: Journal of economic dynamics & control 94 (2018), pp. 225-241

Persistent link: https://www.econbiz.de/10012004391

On the (ab)use of Omega?

Caporin, Massimiliano; Costola, Michele; Jannin, Gregory; … - 2015

Persistent link: https://www.econbiz.de/10011632567

"On the (Ab)use of Omega?"

Caporin, Massimiliano; Costola, Michele; Jannin, Gregory; … - In: Journal of empirical finance 46 (2018), pp. 11-33

Persistent link: https://www.econbiz.de/10012103452

Asset pricing with heterogeneous agents and non-normal return distributions

Beddock, Arthur - 2021

Persistent link: https://www.econbiz.de/10012617351

Are green bonds different from ordinary bonds? : a statistical and quantitative point of view

Ma, Cong; Schoutens, Wim; Beirlant, Jan; De Spiegeleer, Jan - 2020

A green bond is a type of fixed-income security that raises money to invest in predetermined climate and environmental projects, in contrast to conventional debt instruments, where the use of proceeds is not specified in the terms. The difference in yield between a green bond and an otherwise...

Persistent link: https://www.econbiz.de/10012309964

Asset allocation with forward-looking distribution

Kiriu, Takuya; Hibiki, Norio - In: International journal of portfolio analysis and … 2 (2024) 4, pp. 316-341

Persistent link: https://www.econbiz.de/10015064371