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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

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

Optimal Timing and Tilting of Equity Factors

Dichtl, Hubert - 2019

Aiming to optimally harvest global equity factor premiums, we investigated the benefits of parametric portfolio policies for timing factors conditioned on time-series predictors and tilting factors based on cross-sectional factor characteristics. We discovered that equity factors are predictably...

Persistent link: https://www.econbiz.de/10012897582

Token-based crowdfunding : investor choice and the optimal timing of initial coin offerings

Drobetz, Wolfgang; Hornuf, Lars; Momtaz, Paul P.; … - In: Entrepreneurship theory and practice : ET&P 49 (2025) 1, pp. 232-282

Persistent link: https://www.econbiz.de/10015179726

The development of a performance index for KG funds and a comparison with other shipping-related indices

Drobetz, Wolfgang; Tegtmeier, Lars - In: Maritime economics & logistics : a quarterly scientific … 15 (2013) 1, pp. 32-71

Persistent link: https://www.econbiz.de/10009722910