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Algorithmic estimation of risk factors in financial markets with stochastic drift

Hernández, Janko; Saunders, David M.; Seco, Luis - In: Computers & operations research : and their … 39 (2012) 4, pp. 820-828

Persistent link: https://www.econbiz.de/10010217455

A Fund of Hedge Funds Under Regime Switching

Saunders, David M.; Seco, Luis; Vogt, Christopher; … - In: The journal of alternative investments 15 (2012/13) 4, pp. 8-23

Persistent link: https://www.econbiz.de/10009745288

Portfolio optimization in a multidimensional structural-default model with a focus on private equity

Escobar, Marcos; Hieber, Peter; Scherer, Matthias; … - In: The journal of private equity 15 (2011/12) 1, pp. 26-35

Persistent link: https://www.econbiz.de/10009410763

Building machine learning systems for automated ESG scoring

Sokolov, Alik; Mostovoy, Jonathan; Ding, Jack; Seco, Luis - In: The journal of impact and ESG investing 1 (2021) 3, pp. 39-50

Persistent link: https://www.econbiz.de/10012486261

Weak supervision and Black-Litterman for automated ESG portfolio construction

Sokolov, Alik; Caverly, Kyle; Mostovoy, Jonathan; … - In: The journal of financial data science 3 (2021) 3, pp. 129-138

Persistent link: https://www.econbiz.de/10012613548

The price of liquidity in the reinsurance of fund returns

Saunders, David M.; Seco, Luis; Senn, Markus - In: The journal of investment strategies 9 (2020) 3, pp. 1-32

Persistent link: https://www.econbiz.de/10012598960

Special issue: advances in ESG : integration, risk management and tematic investing

Seco, Luis (ed.); Sokolov, Alik (ed.) - 2022

Persistent link: https://www.econbiz.de/10013189121

Retail investors' contrarian behavior around news, attention, and the momentum effect

Luo, Cheng; Ravina, Enrichetta; Sammon, Marco; Viceira, … - 2023

Using a large panel of U.S. brokerage accounts trades and positions, we show that a large fraction of retail investors trade as contrarians after large earnings surprises, especially for loser stocks, and that such contrarian trading contributes to post earnings announcement drift (PEAD) and...

Persistent link: https://www.econbiz.de/10014369372