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  • Search: subject_exact:"Portfolio management"
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Year of publication
Subject
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Portfolio-Management 23,397 Portfolio selection 22,928 Theorie 11,316 Theory 11,110 USA 9,376 United States 9,294 Kapitaleinkommen 2,811 Capital income 2,800 Anlageverhalten 2,659 Behavioural finance 2,573 CAPM 2,118 Kapitalanlage 1,802 Risiko 1,726 Risikomanagement 1,691 Risk 1,690 Financial investment 1,615 Investmentfonds 1,539 Risk management 1,500 Schätzung 1,490 Investment Fund 1,475 Estimation 1,435 Welt 1,409 Börsenkurs 1,382 World 1,367 Share price 1,362 Risikomaß 1,267 Risk measure 1,242 Portfoliomanagement 1,197 Aktienmarkt 1,177 Hedging 1,160 Stock market 1,140 Deutschland 1,120 Finanzanalyse 1,096 Volatilität 1,053 Volatility 1,034 Financial analysis 1,031 Germany 1,011 Kreditrisiko 974 Portfolio Selection 893 Credit risk 889
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Online availability
All
Free 4,287 Undetermined 3,975
Type of publication
All
Article 14,638 Book / Working Paper 10,407 Journal 117 Other 6
Type of publication (narrower categories)
All
Article in journal 12,334 Aufsatz in Zeitschrift 12,334 Graue Literatur 4,909 Non-commercial literature 4,909 Working Paper 4,662 Arbeitspapier 4,280 Aufsatz im Buch 1,889 Book section 1,889 Hochschulschrift 1,522 Thesis 1,297 Collection of articles of several authors 500 Sammelwerk 500 Lehrbuch 409 Collection of articles written by one author 255 Sammlung 255 Dissertation u.a. Prüfungsschriften 225 Bibliografie enthalten 198 Bibliography included 198 Ratgeber 152 Handbook 142 Handbuch 142 Glossar enthalten 130 Glossary included 130 Guidebook 128 Aufsatzsammlung 127 Konferenzschrift 102 Case study 87 Fallstudie 87 Conference proceedings 79 Conference paper 73 Konferenzbeitrag 73 Systematic review 51 Übersichtsarbeit 51 Bibliographie 48 Reprint 46 Amtsdruckschrift 41 Government document 41 Bibliografie 38 Commentary 37 Kommentar 37
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Language
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English 21,665 German 2,696 Undetermined 401 French 186 Italian 67 Spanish 57 Polish 43 Dutch 25 Swedish 14 Portuguese 13 Hungarian 12 Russian 12 Danish 7 Finnish 6 Czech 3 Slovak 3 Arabic 2 Bulgarian 2 Lithuanian 2 Norwegian 2 Serbian 2 Afrikaans 1 Croatian 1 Multiple languages 1 Turkish 1
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Author
All
Fabozzi, Frank J. 174 Maurer, Raimond 96 Platen, Eckhard 66 Satchell, Stephen 58 Gollier, Christian 55 Guidolin, Massimo 52 McAleer, Michael 52 Uppal, Raman 49 Hens, Thorsten 47 Mitchell, Olivia S. 47 Campbell, John Y. 46 Korn, Ralf 46 Schenk-Hoppé, Klaus Reiner 44 Markowitz, Harry 43 Blake, David 41 Başak, Suleyman 40 Elton, Edwin J. 40 Račev, Svetlozar T. 38 Bodie, Zvi 37 Kraft, Holger 37 Weber, Martin 37 Zimmermann, Heinz 35 Albrecht, Peter 34 Lucas, André 34 Prigent, Jean-Luc 34 Levy, Haim 33 Timmermann, Allan 33 Kempf, Alexander 32 Viceira, Luis M. 32 Wong, Wing Keung 32 Gruber, Martin Jay 31 Hlouskova, Jaroslava 31 Spremann, Klaus 31 Stambaugh, Robert F. 31 Van Wincoop, Eric 31 Cvitanić, Jakša 30 Evstigneev, Igor V. 30 Kane, Alex 30 Lo, Andrew W. 30 Post, Thierry 30
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Institution
All
Institut für Schweizerisches Bankwesen <Zürich> 42 Institute of Finance and Accounting <London> 20 Center for Urban & Real Estate Management <Zürich> 18 International Monetary Fund (IMF) 18 Springer Fachmedien Wiesbaden GmbH 17 Frankfurt School of Finance & Management 15 Frank J. Fabozzi Associates <New Hope, Pa.> 14 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 14 International Monetary Fund 13 Fisher Investments Inc. <Woodside, Calif.> 12 National Centre of Competence in Research - Financial Valuation and Risk Management 12 Rodney L. White Center for Financial Research 12 Federal Reserve Bank of New York 11 National Centre of Competence in Research North South <Bern> 11 Basel Committee on Banking Supervision 10 Center for Economic Research <Tilburg> 10 Ekonomiska forskningsinstitutet <Stockholm> 10 Universität Zürich / Institut für Schweizerisches Bankwesen 10 CFA Institute <Charlottesville, Va.> 9 Federal Reserve Board (Board of Governors of the Federal Reserve System) 9 International Center for Financial Asset Management and Engineering 9 London School of Economics and Political Science 9 Pensions Institute 9 University of Western Sydney 9 Université catholique de Louvain / Institut de recherches économiques et sociales <bis 1960> 9 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 8 Wirtschaftswissenschaftliches Zentrum <Basel> 8 Erasmus Research Institute of Management 7 European University Institute / Department of Law 7 FinanzBuch Verlag 7 School of Economics and Finance 7 Sonderforschungsbereich Ökonomisches Risiko <Berlin> 7 Association for Investment Management and Research 6 Federal Reserve Bank of St. Louis 6 Institut für Finanzdienstleistungen Zug 6 International Association for the Study of Insurance Economics 6 Nationalekonomiska Institutionen <Lund> 6 Springer International Publishing AG 6 Swiss National Centre of Competence in Research North South <Bern> 6 Université Paris-Dauphine (Paris IX) 6
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Published in...
All
Working paper / National Bureau of Economic Research, Inc. 458 Journal of banking & finance 399 European journal of operational research : EJOR 235 The journal of finance : the journal of the American Finance Association 220 Discussion paper / Centre for Economic Policy Research 211 The journal of asset management 209 Journal of economic dynamics & control 202 Insurance / Mathematics & economics 198 The journal of portfolio management : a publication of Institutional Investor 197 The review of financial studies 175 Finance and stochastics 154 Mathematical finance : an international journal of mathematics, statistics and financial theory 154 Journal of financial economics 153 Research paper series / Swiss Finance Institute 153 International journal of theoretical and applied finance 151 Journal of financial and quantitative analysis : JFQA 138 Journal of empirical finance 123 The European journal of finance 123 Applied economics 121 International review of financial analysis 115 Management science : journal of the Institute for Operations Research and the Management Sciences 113 Finance research letters 109 The journal of investing 106 Applied financial economics 105 Economic modelling 98 Wiley finance series 96 Economics letters 89 The journal of wealth management 88 Discussion paper / Tinbergen Institute 87 Journal of investment management : JOIM 84 CESifo working papers 81 Journal of international money and finance 80 Working Paper 79 The journal of alternative investments 76 Financial markets and portfolio management 70 Journal of international financial markets, institutions & money 70 International journal of economics and finance 68 Review of quantitative finance and accounting 68 Working paper 67 Investment management and financial innovations 66
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Source
All
ECONIS (ZBW) 23,323 USB Cologne (EcoSocSci) 877 EconStor 408 RePEc 276 USB Cologne (business full texts) 222 BASE 31 OLC EcoSci 30 ArchiDok 1
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Showing 1 - 50 of 25,168
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Interest and credit risk management in German banks : evidence from a quantitative survey
Dräger, Vanessa; Heckmann-Draisbach, Lotta; Memmel, … - 2020
Using unique data of a survey among small and medium-sized German banks, we analyze various aspects of risk management over a short-term and medium-term horizon. We especially analyze the effect of a 200-bp increase in the interest level. We find that, in the first year, the impairments of...
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Frequency-domain information for active portfolio management
Faria, Gonçalo; Verona, Fabio - 2020
We assess the benefits of using frequency-domain information for active portfolio management. To do so, we forecast the bond risk premium and equity risk premium using a methodology that isolates frequencies (of the predictors) with the highest predictive power. The resulting forecasts are more...
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The power of (non-)linear shrinking : a review and guide to covariance matrix estimation
Ledoit, Olivier; Wolf, Michael - 2020 - This version: February 2020
Many econometric and data-science applications require a reliable estimate of the covariance matrix, such as Markowitz portfolio selection. When the number of variables is of the same magnitude as the number of observations, this constitutes a difficult estimation problem; the sample covariance...
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Performance evaluation of global high-rated ETFs during the taper tantrum
Marios, Arampatzis; Kalliopi, Daskalou; Evangelia, … - In: Journal of central banking theory and practice 9 (2020) 1, pp. 23-44
This study examines the performance of fifty global exchanged-traded funds (ETFs) traded on US stock exchanges. Specififcally, it refers to the period following the end of quantitative easing, which took place in 2014. Therefore, the data, on which the study is based, refer to the period from...
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Inflated credit ratings, regulatory arbitrage and capital requirements : do investorsstrategically allocate bond portfolios?
Boermans, Martijn; Kroft, Bram van der - 2020
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Beyond connectedness: a covariance decomposition based network risk model
Akovalı, Umut - 2020
This study extends the Diebold-Yilmaz Connectedness Index (DYCI) methodology and, based on forecast error covariance decompositions, derives a network risk model for a portfolio of assets. As a normalized measure of the sum of variance contributions, system-wide connectedness averages out the...
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Investors' behavior and mutual fund portfolio : allocations in Brazil during the global financial crisis
Linardi, Fernando M. - 2020
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Modeling frailty correlated defaults with multivariate latent factors
Christoffersen, Benjamin; Matin, Rastin - 2020
Firm-level default models are important for bottomup modeling of the default risk of corporate debt portfolios. However, models in the literature typically have several strict assumptions which may yield biased results, notably a linear effect of covariates on the log-hazard scale, no...
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Macro-based asset allocation : an empirical analysis
Kollar, Miroslav; Schmieder, Christian - 2020
Macro-based asset allocation, i.e., the identification of turning points in macro-financial cycles and the allocation of assets accordingly, has attracted a lot of interest in recent years. This interest was sparked by volatile financial markets, more synchronized returns across asset classes...
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Achieving regional convergence through the role of foreign direct investment and portfolio investment : evidence from ASEAN+3
Suidarma, I Made; Maitri, Wayan Sri; Darta, I. Made; … - In: Iranian economic review : journal of University of Tehran 24 (2020) 1, pp. 1-18
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Optimal bank regulation in the presence of credit and run-risk
Kashyap, Anil K.; Tsomocos, Dimitrios P.; Vardoulakis, … - 2020
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Health and the share of wealth held in risky assets
Vega, Alejandro; Velli, Evangelia - 2020
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Factor timing
Haddad, Valentin; Kozak, Serhiy; Santosh, Shrihari - 2020
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How people react to pension risk
Salamanca, Nicolás; Grip, Andries de; Sleijpen, Olaf … - 2020
We show that people exposed to greater pension risk are less likely to invest in risky assets. We exploit a reform that links people's future pension benefits to their pension funds' funding ratio - a measure of the fund's financial health-making funding ratios a fund-specific measure of pension...
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The trading response of individual investors to local bankruptcies
Laudenbach, Christine; Loos, Benjamin; Pirschel, Jenny; … - 2020
We use data from a German online brokerage and a survey to show that retail investors sharply reduce risk-taking in response to nearby firm bankruptcies, which are not predictive of returns. The effects on trading are spatially highly concentrated, immediate and not persistent. They seem to...
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Managerial factors in investment risk : evidence from Polish mutual funds
Filip, Dariusz - In: E-Finanse : finansowy kwartalnik internetowy 16 (2020) 1, pp. 1-10
The aim of this study is to examine whether investment risk is related to the managerial factors characterising portfolio managers. The study employs four risk measures and a set of individual manager characteristics, including socio-demographic variables determining a manager profile. The...
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The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios
Craig, Ben R.; Giuzio, Margherita; Paterlini, Sandra - 2020
Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the sovereign bond portfolios of the major European banks....
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Foreign direct investment and the equity home bias puzzle
Blank, Sven; Hoffmann, Mathias; Roth, Moritz A. - 2020
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Essays in empirical asset pricing and international finance
Niu, Zilong - 2020
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Retaining alpha : the effect of trade size and rebalancing frequency on FX strategy returns
Melvin, Michael; Pan, Wenqiang; Wikstrom, Petra - 2020
The literature on currency investing that incorporates transaction costs uses costs relevant for small trade sizes. Using the entire order book of the major electronic brokerages for FX, we compute sweep-to-fill costs for trades of different sizes and illustrate the reduction in post-cost...
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Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020
We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....
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Forecasting, valuation and portfolio returns of stock market evolution: problems, paradoxes and efficient information : worldwide implications and Romanian evidence
Turcaş, Florin; Dumiter, Florin Cornel; Brezeanu, Petre; … - In: Journal of business economics and management 21 (2020) 1, pp. 87-114
The purpose of this paper is to make a quantitative and qualitative critical analyse regarding the three important aspects of stock market evolution. First, the forecasting problems are presented and analyse in order to establish the main problems and the potential solutions. Second, the...
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A probabilistically constrained extension of the integrated portfolio investment model
Ondra, Matthias; Hilscher, Christoph - In: Energy reports 6 (2020) 1, pp. 261-266
In recent years, new methods concerning risk mitigation techniques in energy planning strategies have become popular. Delarue et al. introduced the integrated portfolio investment model to account for supply-demand constraints. This paper proposes a model which is suitable to the energy...
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A portfolio-balance model of inflation and yield curve determination
Díez de los Ríos, Antonio - 2020 - Last updated: March 9, 2020
We propose a portfolio-balance model of the yield curve in which inflation is determined through an interest rate rule that satisfies the Taylor principle. Because arbitrageurs care about their real wealth, they only absorb an increase in the supply of nominal bonds if they are compensated with...
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Is happiness U-shaped everywhere? : age and subjective well-being in 132 countries
Blanchflower, David - 2020
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Target date funds and portfolio choice in 401(k) plans
Mitchell, Olivia S.; Utkus, Stephen P. - 2020
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The trading response of individual investors to local bankruptcies
Laudenbach, Christine; Loos, Benjamin; Pirschel, Jenny; … - 2020
We use data from a German online brokerage and a survey to show that retail investors sharply reduce risk-taking in response to nearby firm bankruptcies, which are not predictive of returns. The e.ects on trading are spatially highly concentrated, immediate and not persistent. They seem to...
Persistent link: https://ebtypo.dmz1.zbw/10012181473
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Income volatility and portfolio choices
Chang, Yongsung; Hong, Jay H.; Karabarbounis, Marios; … - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012182310
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Congation and return predictabiity in asset markets : an experiment with two Lucas trees
Noussair, Charles; Popescu, Andreea Victoria - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012227958
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Stock recommendations from stochastic discounted cash flows
Bottazzi, Giulio; Cordoni, Francesco; Livieri, Giulia; … - 2020
This paper presents two stocks recommendation systems based on a stochastic characterization of firm present value that extends the conventional discounted cash flow analysis. In the Single-Stock Quantile recommendation system, the market price of a company's stocks is compared with the...
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Political beta
Fisman, Raymond; Knill, April M.; Mityakov, Sergey; … - 2020 - This version: March 28, 2020
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The effectiveness of hedge fund investment strategies under various market conditions
Falkowski, Michał; Sierpińska-Sawicz, Agata; … - In: Contemporary economics 14 (2020) 2, pp. 127-143
The main purpose of the article was to analyze the effectiveness of the basic investment strategies used by hedge funds in the long term (years 1994-2015) and during the global financial crisis (years 2007-2009). Using information from commercial databases we attempted to verify the hypothesis...
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Review on efficiency and anomalies in stock markets
Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51
The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...
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State ownership and risk-taking behavior : an empirical approach to get better profitability, investment, and trading strategies for listed corporates in Vietnam
Nguyen Tran Thai Ha; Moslehpour, Massoud; Thi Thuy Van Vo; … - In: Economies : open access journal 8 (2020) 2/46, pp. 1-21
Corporate risk-taking behavior and investment is a crucial factor in order to seek higher profits and a better trading strategy. Competitive advantage and innovation, while maintaining profitability and state ownership, are considered as crucial resources. Furthermore, it is essential to connect...
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Retail raw : wisdom of the Robinhood crowd and the Covid crisis
Welch, Ivo - 2020
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Private equity and COVID-19
Gompers, Paul A.; Kaplan, Steven N.; Mukharlyamov, Vladimir - 2020
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A return based measure of firm quality
Jagannathan, Ravi; Zhang, Yang - 2020
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The hidden costs of strategic opacity
Babus, Ana; Farboodi, Maryam - 2020
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Rational sentiments and economic cycles
Farboodi, Maryam; Kondor, Péter - 2020
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Culture and portfolios : trust, precautionary savings and home ownership
Fleck, Johannes; Monninger, Adrian - 2020
This paper shows that individual beliefs on the effectiveness of formal and informal sources of risk sharing determine financial precautionary behavior. We present empirical evidence demonstrating that higher trust in public insurance systems reduces net liquid wealth while higher trust in...
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Portfolio choice for a resource-based sovereign wealth fund : an analysis of cash flows
Mork, Knut Anton; Eap, Hanna Marisela; Haraldsen, … - In: International Journal of Financial Studies : open … 8 (2020) 1/14, pp. 1-20
We consider the portfolio choice of a government with a Sovereign Wealth Fund (SWF) when government revenues depend on exhaustible resources, such as oil and gas. The question is whether the SWF portfolio should underweight shares in the resource industry. Some studies have found that these...
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Debt de-risking
Cutura, Jannic; Parise, Gianpaolo; Schrimpf, Andreas - 2020
We examine the incentive of corporate bond fund managers to manipulate portfolio risk in response to competitive pressure. We find that bond funds engage in a reverse fund tournament in which laggard funds actively de-risk their portfolios, trading-off higher yields for more liquid and safer...
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Data envelopment analysis and multifactor asset pricing models
Solórzano-Taborga, Pablo; Alonso-Conde, Ana Belén; … - In: International Journal of Financial Studies : open … 8 (2020) 2/24, pp. 1-18
Recent literature shows that market anomalies have significantly diminished, while research on market factors has largely improved the performance of asset pricing models. In this paper we study the extent to which data envelopment analysis (DEA) techniques can help improve the performance of...
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On the inflation risks embedded in sovereign bond yields
Camba-Méndez, Gonzalo - 2020
The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation risks from the perspective of a well diversified...
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Deviations from covered interest rate parity and capital outflows : the case of Switzerland
Tola, Albi; Rinawi, Miriam; Repele, Amalia - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012241305
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Portfolio configuration and foreign entry decisions : a juxtaposition of real options and risk diversification theories
Belderbos, René; Tong, Tony W.; Wu, Shubin - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012242917
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Wealth, portfolios, and unemployment duration
Fontaine, François; Jensen, Janne Nyborg; Vejlin, Rune … - 2020
We use administrative data on individual balance sheets in Denmark to document how an individual's financial position affects job search behavior. We look at the effect of wealth at the entry into unemployment on the exit rate from unemployment as well as the effect on the subsequent match...
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Portfolio configuration and foreign entry decisions : a juxtaposition of real options and risk diversification theories
Belderbos, René; Tong, Tony W.; Wu, Shubin - 2020
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Long-term stock returns in Brazil : volatile equity returns for U.S.-like investors
Araujo, Eurilton; Brito, Ricardo D.; Sanvicente, Antonion Z. - 2020 - This version: March 30th, 2020
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Predicting the global minimum variance portfolio
Reh, Laura; Krüger, Fabian; Liesenfeld, Roman - 2020
We propose a novel dynamic approach to forecast the weights of the global minimum variance portfolio (GMVP). The GMVP weights are the population coefficients of a linear regression of a benchmark return on a vector of return differences. This representation enables us to derive a consistent loss...
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