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Papageorgiou, Nicolas A.; Reeves, Jonathan J.; Xie, Xuan - In: International journal of forecasting 32 (2016) 2, pp. 548-558

Persistent link: https://www.econbiz.de/10011597207

Targeting market neutrality

Lee, John B.; Reeves, Jonathan J.; Tjahja, Alice C.; … - In: Quantitative finance 19 (2019) 3, pp. 437-451

Persistent link: https://www.econbiz.de/10012194663

Portfolio Management for Insurers and Pension Funds and COVID-19 : Targeting Volatility for Equity, Balanced and Target-Date Funds with Leverage Constraints

Bao Doan; Reeves, Jonathan J.; Sherris, Michael - 2021

Insurers and pension funds face the challenges of historically low interest rates and volatility in equity markets, that have been accentuated due to the COVID-19 pandemic. Recent advances in equity portfolio management with a target volatility have been shown to deliver improved on average risk...

Persistent link: https://www.econbiz.de/10013249746

Dynamic asset beta measurement

Chen, Brandon; Reeves, Jonathan J. - In: Applied financial economics 22 (2012) 19/21, pp. 1655-1664

Persistent link: https://www.econbiz.de/10009715938

Quarterly beta forecasting : an evaluation

Hooper, Vincent J.; Ng, Kevin; Reeves, Jonathan J. - In: International journal of forecasting 24 (2008) 3, pp. 480-489

Persistent link: https://www.econbiz.de/10003764128

Beta forecasting at long horizons

Cenesizoglu, Tolga; Ribeiro, Fabio de Oliveira Ferrazoli; … - In: International journal of forecasting 33 (2017) 4, pp. 936-957

Persistent link: https://www.econbiz.de/10011746930

Monthly beta forecasting with low-, medium- and high-frequency stock returns

Cenesizoglu, Tolga; Liu, Qianqiu; Reeves, Jonathan J.; … - In: Journal of forecasting 35 (2016) 6, pp. 528-541

Persistent link: https://www.econbiz.de/10011595959

Dynamic Asset Beta Measurement

Chen, Brandon - 2012

The recent advent of high-frequency data and advances in financial econometrics allow investors to evaluate the accuracy of different beta (systematic risk) measurements. Benchmarking against the monthly realized beta formed by 30-minute data, we compare the popular Fama-MacBeth betas, the...

Persistent link: https://www.econbiz.de/10013116615

Portfolio management for insurers and pension funds and COVID19 : targeting volatility for equity, balanced and target-date funds with leverage constraints

Bao Doan; Reeves, Jonathan J.; Sherris, Michael - 2021

Persistent link: https://www.econbiz.de/10012585979

Portfolio management with targeted constant market volatility

Bao Doan; Papageorgiou, Nicolas A.; Reeves, Jonathan J.; … - In: Insurance / Mathematics & economics 83 (2018), pp. 134-147

Persistent link: https://www.econbiz.de/10011944110