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Implications of the Sharpe ratio as a performance measure in multi-period settings

Cvitanić, Jakša; Lazrak, Ali; Wang, Tan - In: Journal of economic dynamics & control 32 (2008) 5, pp. 1622-1649

Persistent link: https://www.econbiz.de/10003732541

Keynes meets Markowitz : the trade-off between familiarity and diversification

Boyle, Phelim P.; Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - 2010

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Keynes meets Markowitz : the trade-off between familiarity and diversification

Boyle, Phelim P.; Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - In: Management science : journal of the Institute for … 58 (2012) 2, pp. 253-272

Persistent link: https://www.econbiz.de/10009512174

Portfolio selection with parameter and model uncertainty : a multi-prior approach

Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - 2005

Persistent link: https://www.econbiz.de/10003023172

Portfolio selection with parameter and model uncertainty : a multi-prior approach

Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - 2005

Persistent link: https://www.econbiz.de/10002863194

Ambiguity aversion and the puzzle of own-company stock in pension plans

Boyle, Phelim P. (contributor); Uppal, Raman (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001777031

Portfolio selection with parameter and model uncertainty : a multi-prior approach

Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - In: The review of financial studies 20 (2007) 1, pp. 41-81

Persistent link: https://www.econbiz.de/10003403673

Model misspecification and under-diversification

Uppal, Raman (contributor); Wang, Tan (contributor) - 2002 - [Elektronische Ressource]

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Model misspecification and underdiversification

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Detecting the lead-lag effect in stock markets : definition, patterns, and investment strategies

Li, Yongli; Wang, Tianchen; Sun, Baiqing; Liu, Chao - In: Financial innovation : FIN 8 (2022), pp. 1-36

Human activities widely exhibit a power-law distribution. Considering stock trading as a typical human activity in the financial domain, the first aim of this paper is to validate whether the well-known power-law distribution can be observed in this activity. Interestingly, this paper determines...

Persistent link: https://www.econbiz.de/10013272642