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Venture Capital Optimal Investment Portfolio Strategies Selection in Diffusion - Type Financial Systems in Global Capital Markets with Nonlinearities
Ledenyov, Dimitri - 2017
asymmetric information flows in the information transmission channels between the market agents, resulting in the origination of …
Persistent link: https://www.econbiz.de/10012971891
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Investor ESG Tastes and Asset Pricing
Wang, Liying; Wu, J. (Julie) - 2022
This study uses security-level investor demand and dynamic pricing information in the primary bond market to examine …
Persistent link: https://www.econbiz.de/10013405355
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Liquidity as an Investment Style
Ibbotson, Roger G. - 2013
investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover …
Persistent link: https://www.econbiz.de/10013093548
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Fiduciary Principles in Investment Advice
Laby, Arthur B. - 2019
The importance of investment advisers to the financial well-being of their clients cannot be overstated. Individuals and institutions entrust trillions of dollars to investment advisers to manage on their behalf. This paper discusses and explains fiduciary principles in investment advice....
Persistent link: https://www.econbiz.de/10012862365
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Portfolio theory and electricity forward markets
Michalovský, Michal; Paholok, Igor - In: European financial and accounting journal : EFAJ 6 (2011) 1, pp. 76-103
has an unambiguous prevalence. It is the relative recency of this market that gives rise to the question of how precisely … Bessembinder and Lemon (2002) is reviewed in our essay through the Markowitz portfolio theory. Unlike in the B-L model, where the … variance of the spot price has a strictly negative relationship to the risk premium, it is shown that the portfolio theory …
Persistent link: https://www.econbiz.de/10011459962
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Institutional Trading Momentum and Mispricing
Bulsiewicz, James - 2017
I investigate whether or not the multi-period trades of financial institutions cause mispricing in the stock market …
Persistent link: https://www.econbiz.de/10012971888
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Replication in Financial Economics
Harvey, Campbell R. - 2019
The existing replication policies at top finance journals are far weaker than the policies at top economics journals. This paper explores both the costs and benefits of having a stronger replication policy in the context of my failed 2010 initiative to develop a unified policy across all top...
Persistent link: https://www.econbiz.de/10012867841
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Factor-Based Hedge Fund Replication with Risk Constraints
Harris, Richard D. F. - 2017
In this paper, we propose a method for hedge fund replication using a factor-based model supplemented with a series of risk and return constraints that implicitly target all the moments of the hedge fund return distribution. We use the approach to replicate the monthly returns of ten broad hedge...
Persistent link: https://www.econbiz.de/10012951213
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Mutual Fund Risk Premia – A Quantitative Framework for Mutual Fund Selection
Chauhan, Vinay - 2018
which are diversified across investment styles and generate better risk-adjusted performance compared to a market cap …
Persistent link: https://www.econbiz.de/10012909457
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Illiquid Asset Investing
Ang, Andrew - 2013
After taking into account biases induced by infrequent trading and selection, it is unlikely that illiquid asset classes have higher risk-adjusted returns than traditional liquid stock and bond markets. On the other hand, there are significant illiquidity premiums within asset classes. Portfolio...
Persistent link: https://www.econbiz.de/10013088632