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Portfolio performance on agency mechanism with capability of manager

Yang, Haijun; Xia, Wei; Fu, Jian - In: Theoretical economics letters 8 (2018) 1, pp. 28-47

Persistent link: https://www.econbiz.de/10011842063

Private information transmission, momentum and reversal

Yang, Haijun; Xia, Wei - In: The journal of behavioral finance : a publication of … 21 (2020) 3, pp. 311-322

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The optimal bid-ask price strategies of high-frequency trading and the effect on market liquidity

Yang, Haijun; Ge, Hengshun; Luo, Ying - In: Research in international business and finance 53 (2020), pp. 1-21

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An information diffusion model for momentum effect based on investor wealth

Yang, Haijun; Ge, Hengshun; Gao, Xinpeng - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-19

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Institutional investor' proportions and inactive trading

Wang, Jiarui; Liu, Shancun; Yang, Haijun - In: International review of financial analysis 82 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013431198

Risk-based dynamic asset allocation with extreme tails and correlations

Wang, Peng; Sullivan, Rodney N.; Ge, Yizhi - In: The journal of portfolio management : a publication of … 38 (2012) 4, pp. 26-42

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Liquidity-driven dynamic asset allocation

Xiong, James X.; Sullivan, Rodney N.; Wang, Peng - In: The journal of portfolio management : a publication of … 39 (2013) 3, pp. 102-111

Persistent link: https://www.econbiz.de/10009750747

Using a Z-score approach to combine value and momentum in tactical asset allocation

Wang, Peng; Kochard, Larry - In: The journal of wealth management 15 (2012/13) 1, pp. 52-71

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Low-volatility cycles : the influence of valuation and momentum on low-volatility portfolios

Garcia-Feijóo, Luis; Kochard, Lawrence; Sullivan, Rodney N. - In: Financial analysts' journal : FAJ 71 (2015) 3, pp. 47-60

Persistent link: https://www.econbiz.de/10011283147

Liquidity-Driven Dynamic Asset Allocation

Xiong, James X. - 2016

We propose a model of portfolio selection that adjusts an investors' portfolio allocation in accordance with changing market liquidity environments and market conditions. We found that market liquidity provides a useful “leading indicator” in dynamic asset allocation. Specifically, market...

Persistent link: https://www.econbiz.de/10013007801