Zobrazeno 1 - 9
of 9
pro vyhledávání: '"Valeyre, Sebastien"'
Autor:
Valeyre, Sebastien
Publikováno v:
Journal of investment stategies 2024 12(3)
This paper derives an optimal portfolio that is based on trend-following signal. Building on an earlier related article, it provides a unifying theoretical setting to introduce an autocorrelation model with the covariance matrix of trends and risk pr
Externí odkaz:
http://arxiv.org/abs/2201.06635
Autor:
Valeyre, Sebastien
A new methodology has been introduced to clean the correlation matrix of single stocks returns based on a constrained principal component analysis using financial data. Portfolios were introduced, namely "Fundamental Maximum Variance Portfolios", to
Externí odkaz:
http://arxiv.org/abs/2001.08911
Publikováno v:
J. Finan. Res. 42, 71-113 (2019)
We present a reactive beta model that includes the leverage effect to allow hedge fund managers to target a near-zero beta for market neutral strategies. For this purpose, we derive a metric of correlation with leverage effect to identify the relatio
Externí odkaz:
http://arxiv.org/abs/1911.00919
We uncover a new anomaly in asset pricing that is linked to the remuneration: the more a company spends on salaries and benefits per employee, the better its stock performs, on average. Moreover, the companies adopting similar remuneration policies s
Externí odkaz:
http://arxiv.org/abs/1602.00931
Publikováno v:
In Physica A: Statistical Mechanics and its Applications 15 July 2019 526
Publikováno v:
Quant. Finance 13, 1697-1706 (2013)
We present a new volatility model, simple to implement, that includes a leverage effect whose return-volatility correlation function fits to empirical observations. This model is able to capture both the "retarded effect" induced by the specific risk
Externí odkaz:
http://arxiv.org/abs/1209.5190
Autor:
Valeyre, Sebastien1 (AUTHOR), Grebenkov, Denis2 (AUTHOR), Aboura, Sofiane3 (AUTHOR) sofiane.aboura@dauphine.fr, Liu, Qian1 (AUTHOR)
Publikováno v:
Quantitative Finance. Nov2013, Vol. 13 Issue 11, p1697-1706. 10p.
Publikováno v:
Journal of Derivatives & Hedge Funds. Aug2014, Vol. 20 Issue 3, p131-155. 25p.
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