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Where is the value added of rebalancing? : a systematic comparison of alternative rebalancing strategies

Dichtl, Hubert; Drobetz, Wolfgang; Wambach, Martin - In: Financial markets and portfolio management 28 (2014) 3, pp. 209-231

Persistent link: https://www.econbiz.de/10010399419

Testing rebalancing strategies for stock-bond portfolios across different asset allocations

Dichtl, Hubert; Drobetz, Wolfgang; Wambach, Martin - In: Applied economics 48 (2016) 7/9, pp. 772-788

Persistent link: https://www.econbiz.de/10011414025

A bootstrap-based comparison of portfolio insurance strategies

Dichtl, Hubert; Drobetz, Wolfgang; Wambach, Martin - In: The European journal of finance 23 (2017) 1/3, pp. 31-59

Persistent link: https://www.econbiz.de/10011736216

A Bootstrap-Based Comparison of Portfolio Insurance Strategies

Dichtl, Hubert - 2014

This study presents a systematic comparison of portfolio insurance strategies. In order to test for statistical significance of the differences in downside performance risk measures between pairs of portfolio insurance strategies, we use a bootstrap-based hypothesis test. Our comparison of...

Persistent link: https://www.econbiz.de/10013062625

How to avoid the pitfalls in portfolio optimization? : Putting the Black-Litterman approach at work

Drobetz, Wolfgang - In: Financial markets and portfolio management 15 (2001) 1, pp. 59-75

Persistent link: https://www.econbiz.de/10001683834

Expected returns, consumption, and the business cycle on global stock markets

Drobetz, Wolfgang - 2000 - 1. Aufl.

Persistent link: https://www.econbiz.de/10004601184

Expected returns, consumption, and the business cycle on global stock markets

Drobetz, Wolfgang - 2000

Persistent link: https://www.econbiz.de/10001518728

Volatility bounds for stochastic discount factors on global stock markets

Drobetz, Wolfgang - In: Schmollers Jahrbuch : journal of contextual economics 123 (2003) 4, pp. 471-500

Persistent link: https://www.econbiz.de/10001948825

Parametric and nonparametric estimation of conditional return expectations

Drobetz, Wolfgang; Hoechle, Daniel - In: Risk management : challenge and opportunity ; with 125 …, (pp. 169-196). 2005

Persistent link: https://www.econbiz.de/10002447562

Factor-Based Allocation : Is There a Superior Strategy?

Dichtl, Hubert - 2019

Factor-based allocation embraces the idea of factors, as opposed to asset classes, as the ultimate building blocks of an investment portfolio. Our study contributes to the literature by addressing the question whether there is a superior way of combining factors in a portfolio. We provide a...

Persistent link: https://www.econbiz.de/10012889916