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Measuring risk in fixed payment securities : an empirical test of the structured full rank covariance matrix

Hilliard, Jimmy E. - In: Journal of financial and quantitative analysis : JFQA 26 (1991) 3, pp. 345-362

Persistent link: https://www.econbiz.de/10001113532

Hedging interest rate risk with futures portfolios under full-rank assumptions

Hilliard, Jimmy E. - In: Journal of financial and quantitative analysis : JFQA 24 (1989) 2, pp. 217-240

Persistent link: https://www.econbiz.de/10001067211

A comparison of rebalanced and buy and hold portfolios : does monetary policy matter?

Hilliard, Jimmy E.; Hilliard, Jitka - In: Review of Pacific Basin financial markets and policies 18 (2015) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10011286048

Rebalancing versus buy and hold : theory, simulation and empirical analysis

Hilliard, Jimmy E.; Hilliard, Jitka - In: Review of quantitative finance and accounting 50 (2018) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10011979088

Rebalancing versus Buy and Hold : Theory, Simulation and Empirical Analysis

Hilliard, Jimmy E. - 2015

We consider returns from rebalanced and buy and hold portfolios consisting of the same stocks. Theoretical properties are derived using Jensen's inequality and the Hölder's Defect Formula. Simulations are used to confirm theory and to investigate ambiguous cases where theory is silent....

Persistent link: https://www.econbiz.de/10013026375