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On the performance of the minimum VAR portfolio

Durand, Robert B.; Gould, John; Maller, Ross A. - In: The European journal of finance 17 (2011) 7/8, pp. 553-576

Persistent link: https://www.econbiz.de/10009509846

A test for the equality of multiple Sharpe ratios

Wright, John; Yam, Sheung Chi Phillip; Yung, Siu Pang - In: Journal of risk 16 (2013/2014) 4, pp. 3-21

Persistent link: https://www.econbiz.de/10013262931

Optimization, cointegration and diversification gains from international portfolios : an out-of-sample analysis

Phengpis, Chanwit; Swanson, Peggy Eubanks - In: Review of quantitative finance and accounting 36 (2011) 2, pp. 269-286

Persistent link: https://www.econbiz.de/10009272498

Why stay-at-home investing makes sense

O'Hagen-Luff, Martha; Berrill, Jenny - In: International review of financial analysis 38 (2015), pp. 1-14

Persistent link: https://www.econbiz.de/10011337640

Mean-variance portfolio efficiency under leverage aversion and trading impact

Edirisinghe, Chanaka; Jeong, Jaehwan - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-16

This paper addresses the optimal rebalancing problem of a long-short portfolio with high net asset value under trading impact losses. The fund manager may employ leveraging as a tool to increase portfolio returns. However, to mitigate potential leverage risks, frequent rebalancing may become...

Persistent link: https://www.econbiz.de/10013161565

Identification-robust estimation and testing of the zero-beta CAPM

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: The review of economic studies 80 (2013) 3, pp. 892-924

Persistent link: https://www.econbiz.de/10010204244

International portfolio selection with exchange rate risk : a behavioural portfolio theory perspective

Jiang, Chonghui; Ma, Yongkai; An, Yunbi - In: Journal of banking & finance 37 (2013) 2, pp. 648-659

Persistent link: https://www.econbiz.de/10009705608

Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns

Guan, Guohui; Liang, Zongxia - In: Insurance / Mathematics & economics 61 (2015), pp. 99-109

Persistent link: https://www.econbiz.de/10010515914

Financial development, sectoral reallocation, and volatility : international evidence

Manganelli, Simone; Popov, Alexander - In: Journal of international economics 96 (2015) 2, pp. 323-337

Persistent link: https://www.econbiz.de/10011387709

Naïve versus mean-variance diversification in Indian capital markets

Gupta, Mohit; Aggarwal, Navdeep - In: Asia-Pacific journal of management research and … 11 (2015) 3, pp. 198-204

Persistent link: https://www.econbiz.de/10011392084