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Robust investment management with uncertainty in fund managers' asset allocation

Dong, Yang; Thiele, Aurélie - In: RAIRO / Operations research 49 (2015) 4, pp. 821-844

Persistent link: https://www.econbiz.de/10011547056

Model risk management under the current environment

Yang, Dong - In: Commercial banking risk management : regulation in the …, (pp. 169-197). 2017

Persistent link: https://www.econbiz.de/10011607035

Modeling dynamic higher-order comoments for portfolio selection based on copula approach

Wang, Yanfeng; Ke, Rui; Yang, Dong - In: International review of economics & finance : IREF 96 (2024) 2, pp. 1-13

Persistent link: https://www.econbiz.de/10015271380

Mutual fund style drift measured using higher moments and its cash flow incentive

Chen, Qi; Wang, Peng; Yang, Dong - In: The North American journal of economics and finance : a … 76 (2025), pp. 1-19

Persistent link: https://www.econbiz.de/10015372664

Only winners in tough times repeat : hedge fund performance persistence over different market conditions

Sun, Zheng; Wang, Ashley W.; Lu, Zheng - 2016 - This draft: March 2016

We provide novel evidence that hedge fund performance is persistent following weak hedge fund markets, but is not persistent following strong markets. Specifically, we construct two performance measures, DownsideReturns and UpsideReturns, conditioned on the level of overall hedge fund sector...

Persistent link: https://www.econbiz.de/10011500226

Dispersion in beliefs among active mutual funds and the cross-section of stock returns

Jiang, Hao; Sun, Zheng - In: Journal of financial economics 114 (2014) 2, pp. 341-365

Persistent link: https://www.econbiz.de/10010532252

The effect of management design on the portfolio concentration and performance of mutual funds

Goldman, Eitan; Sun, Zhenzhen; Zhou, Xiyu - In: Financial analysts' journal : FAJ 72 (2016) 4, pp. 49-61

Persistent link: https://www.econbiz.de/10011688475

Only winners in tough times repeat : hedge fund performance persistence over different market conditions

Sun, Zheng; Wang, Ashley W.; Lu, Zheng - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 5, pp. 2199-2225

Persistent link: https://www.econbiz.de/10011959083

Does operating risk affect portfolio risk? : evidence from insurers' securities holding

Chen, Xuanjuan; Sun, Zhenzhen; Yao, Tong; Yu, Tong - In: The journal of corporate finance : contracting, … 62 (2020), pp. 1-20

Persistent link: https://www.econbiz.de/10012239232

Liquidity premium in the eye of the beholder : an analysis of the clientele effect in the corporate bond market

Chen, Xuanjuan; Huang, Jing-Zhi; Sun, Zhenzhen; Yao, Tong; … - In: Management science : journal of the Institute for … 66 (2020) 2, pp. 932-957

Persistent link: https://www.econbiz.de/10012213253