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pro vyhledávání: '"Frederiek Van Holle"'
Publikováno v:
Heliyon, Vol 6, Iss 3, Pp e03516- (2020)
Many financial portfolios are not mean-variance-skewness-kurtosis efficient. We recommend tilting these portfolios in a direction that increases their estimated mean and third central moment and decreases their variance and fourth central moment. The
Externí odkaz:
https://doaj.org/article/cea59f7a084040e492be2775346db1f9
Publikováno v:
Heliyon, 6(3):e03516, 1-8. Elsevier BV
Heliyon
Boudt, K, Cornilly, D, Van Holle, F & Willems, J 2020, ' Algorithmic portfolio tilting to harvest higher moment gains ', Heliyon, vol. 6, no. 3, e03516, pp. 1-8 . https://doi.org/10.1016/j.heliyon.2020.e03516
HELIYON
Heliyon, Vol 6, Iss 3, Pp e03516-(2020)
Heliyon
Boudt, K, Cornilly, D, Van Holle, F & Willems, J 2020, ' Algorithmic portfolio tilting to harvest higher moment gains ', Heliyon, vol. 6, no. 3, e03516, pp. 1-8 . https://doi.org/10.1016/j.heliyon.2020.e03516
HELIYON
Heliyon, Vol 6, Iss 3, Pp e03516-(2020)
Many financial portfolios are not mean-variance-skewness-kurtosis efficient. We recommend tilting these portfolios in a direction that increases their estimated mean and third central moment and decreases their variance and fourth central moment. The
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::223e9d458ee961907329ef4d89f549c1
https://research.vu.nl/en/publications/37c7bda0-8f62-45fa-a064-032eb1f3e00c
https://research.vu.nl/en/publications/37c7bda0-8f62-45fa-a064-032eb1f3e00c
Publikováno v:
SSRN Electronic Journal.
Autor:
Frederiek Van Holle
Publikováno v:
SSRN Electronic Journal.
The relationship between macroeconomic variables and asset prices varies over time. Recent research points to monetary policy as an important driver of this dynamic relationship. On the one hand, most central banks pursue a mandate that takes into ac
Publikováno v:
SSRN Electronic Journal.
The empirical finding that small stock returns exceed big stock returns (size premium), and that value stock returns exceed growth stock returns (value premium) has been extensively studied in the past. In this paper, we analyse the size premium and