Active Factor Completion Strategies
暂无分享,去创建一个
Carsten Rother | Harald Lohre | Hubert Dichtl | Wolfgang Drobetz | W. Drobetz | Harald Lohre | H. Dichtl | Carsten Rother
[1] Juhani T. Linnainmaa,et al. Factor Momentum , 2021, The Review of Financial Studies.
[2] Harald Lohre,et al. Optimal Timing and Tilting of Equity Factors , 2019, Financial Analysts Journal.
[3] B. Kelly,et al. Factor Momentum Everywhere , 2018, The Journal of Portfolio Management.
[4] G. Hunanyan,et al. Portfolio Selection , 2019, Finanzwirtschaft, Banken und Bankmanagement I Finance, Banks and Bank Management.
[5] L. Martellini,et al. Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions , 2017 .
[6] Amnon Schreiber,et al. Scaling up Market Anomalies , 2017 .
[7] Yao Hua Ooi,et al. A Century of Evidence on Trend-Following Investing , 2017 .
[8] Clifford S. Ang. Accruals, Cash Flows, and Operating Profitability in the Cross Section of Stock Returns , 2017 .
[9] Maximum Diversification Strategies Along Commodity Risk Factors , 2018 .
[10] Philip A. Stork,et al. A Trustee Guide to Factor Investing , 2016, The Journal of Portfolio Management.
[11] Romain Deguest,et al. Risk Budgeting and Diversification Based on Optimized Uncorrelated Factors , 2015 .
[12] Harald Lohre,et al. Diversifying Risk Parity , 2013 .
[13] Clifford S. Asness,et al. Value and Momentum Everywhere: Value and Momentum Everywhere , 2013 .
[14] Thomas M. Idzorek,et al. Factor-Based Asset Allocation vs. Asset-Class-Based Asset Allocation , 2013 .
[15] Robert Novy-Marx,et al. The other side of value: The gross profitability premium. , 2013 .
[16] Thierry Roncalli,et al. Risk parity portfolios with risk factors , 2012 .
[17] Antti Ilmanen,et al. The Death of Diversification Has Been GreatlyExaggerated , 2012, The Journal of Portfolio Management.
[18] Thierry Roncalli,et al. Managing Risk Exposures Using the Risk Budgeting Approach , 2012 .
[19] Yao Hua Ooi,et al. Time Series Momentum , 2011 .
[20] Wai Lee,et al. Risk-Based Asset Allocation: A New Answer to an Old Question? , 2011, The Journal of Portfolio Management.
[21] Andrea Frazzini,et al. Betting Against Beta , 2010 .
[22] T. Roncalli,et al. The Properties of Equally Weighted Risk Contribution Portfolios , 2010, The Journal of Portfolio Management.
[23] A. Meucci,et al. Managing Diversification , 2010 .
[24] Portfolio of Risk Premia: A New Approach to Diversification , 2010, The Journal of Portfolio Management.
[25] Garleanu Nicolae,et al. Dynamic Trading with Predictable Returns and Transaction Costs , 2009 .
[26] Yves Choueifaty,et al. Toward Maximum Diversification , 2008, The Journal Of Portfolio Management.
[27] Anil K. Bera,et al. Optimal Portfolio Diversification Using the Maximum Entropy Principle , 2008 .
[28] Anil K. Bera. Optimal Portfolio Diversification Using Maximum Entropy Principle 1 , 2008 .
[29] R. Hodrick,et al. The Cross-Section of Volatility and Expected Returns , 2006 .
[30] A Factor Approach to Asset Allocation , 2005 .
[31] Michael R. Caputo,et al. Principal Portfolios: Recasting the Efficient Frontier , 2004 .
[32] Robert B. Litterman,et al. The Intuition Behind Black-Litterman Model Portfolios , 2002 .
[33] William N. Goetzmann,et al. Active Portfolio Management , 1999 .
[34] Mark Grinblatt,et al. Do Industries Explain Momentum , 1999 .
[35] Joseph P. Romano,et al. The stationary bootstrap , 1994 .
[36] Narasimhan Jegadeesh,et al. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency , 1993 .
[37] Walt J. Woerheide. An index of portfolio diversification , 1993 .
[38] Robert B. Litterman,et al. Global Portfolio Optimization , 1992 .
[39] Robert B. Litterman,et al. Asset Allocation , 1991 .
[40] M. Best,et al. On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results , 1991 .
[41] S. Basu,et al. Investment Performance of Common Stocks in Relation to their Price-Earnings Ratios , 1977 .
[42] R. Haugen,et al. Risk and the Rate of Return on Financial Assets: Some Old Wine in New Bottles , 1975 .
[43] F. Black. Capital Market Equilibrium with Restricted Borrowing , 1972 .