1 - 6 of 6 articles
Abstract The relative benefits of country diversification and industry diversification are critical for investors, portfolio managers and investment banks. The unification of Europe has had a substantial impact on these relative benefits and the ultimate goal of this paper is to evaluate their...
Abstract This paper examines whether book-to-market sorted portfolios exhibit an asymmetric response to changes in economic conditions over the business cycle. It is initially shown that a simple strategy of holding a high book-to-market portfolio produces a greater cumulative excess return over...
Abstract Investment managers focus much of their attention on the process of searching for alpha. This paper presents a model which shows that this search for alpha is likely to generate undesirable effects for clients, leading to a loss in portfolio value that reflects an increased variance....
Abstract The objective of this paper is to posit a fuzzy optimal control model explicitly to derive the optimal rebalancing weights (ie dynamic hedge ratios) to engineer a structured financial product out of a multi-asset best-of option. The target function is actually the total cost of hedging...
Abstract A number of investment strategies designed to maximise portfolio growth are tested on a long-run US equity dataset. The application of these growth optimal portfolio techniques produces impressive rates of growth, despite the fact that the assumptions of normality and stability that...
Read and print from thousands of top scholarly journals.
Continue with Facebook
Log in with Microsoft
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Sign Up Log In
To subscribe to email alerts, please log in first, or sign up for a DeepDyve account if you don’t already have one.
To get new article updates from a journal on your personalized homepage, please log in first, or sign up for a DeepDyve account if you don’t already have one.