Zobrazeno 1 - 4
of 4
pro vyhledávání: '"Martin Zurek"'
Publikováno v:
Journal of Asset Management. 22:464-487
Despite extensive research support, the role of diversification in current factor investing strategies remains neglected. This paper investigates whether well-designed multifactor portfolios should not only be based on firm characteristics, but shoul
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a21ba81c99d3abf5cc728e1aa5c1b6ba
https://doi.org/10.1057/s41260-021-00226-0
https://doi.org/10.1057/s41260-021-00226-0
Autor:
Martin Zurek, Lars Heinrich
Publikováno v:
Journal of Asset Management. 22:11-29
In a recent discussion about efficient ways to combine multiple firm characteristics into a multifactor portfolio, a distinction was made between the bottom-up and top-down approach. Both approaches integrate characteristics with equal weights and ig
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bc416dc6edbaa678a32cbb7d264733e8
https://doi.org/10.1057/s41260-020-00188-9
https://doi.org/10.1057/s41260-020-00188-9
Autor:
Lars Heinrich, Martin Zurek
Publikováno v:
Financial Markets and Portfolio Management. 33:243-275
This paper applies a linear alpha forecasting framework to enhance commonly used factor investing strategies by taking into account the informational content and interaction effects of selected firm characteristics. To demonstrate conditions under wh
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::875f645cc68778355155971dce263b96
https://doi.org/10.1007/s11408-019-00333-4
https://doi.org/10.1007/s11408-019-00333-4
Publikováno v:
Toxicology Letters. 189:S175
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a4f186440e1eef937b77f0c07e00a126
https://doi.org/10.1016/j.toxlet.2009.06.666
https://doi.org/10.1016/j.toxlet.2009.06.666