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Advanced Search Results For "PORTFOLIO performance"

1 - 10 of 7,872 results for
 "PORTFOLIO performance"
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Efficiency of Dynamic Portfolio Choices: An Experiment.

Publication Type:Academic Journal

Source(s):Review of Financial Studies. Mar2022, Vol. 35 Issue 3, p1279-1309. 31p.

Abstract:We study the efficiency of dynamic portfolio choices using the nonparametric methods of Dybvig (1988) and Post (2003). We compare a dynamic portfolio task against an equivalent static Arrow-Debreu problem under two alternative environments: (1) nonpool...

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Lest We Forget: Learn from Out-of-Sample Forecast Errors When Optimizing Portfolios.

Publication Type:Academic Journal

Source(s):Review of Financial Studies. Mar2022, Vol. 35 Issue 3, p1222-1278. 57p.

Abstract:Portfolio optimization often struggles in realistic out-of-sample contexts. We deconstruct this stylized fact by comparing historical forecasts of portfolio optimization inputs with subsequent out-of-sample values. We confirm that historical forecasts ...

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PORTFOLIO PERFORMANCE ANALYSIS of REAL ESTATE INVESTMENT FUNDS: A STUDY on REAL ESTATE INVESTMENT FUNDS ESTABLISHED in TURKEY.

Publication Type:Academic Journal

Source(s):International Journal of Eurasia Social Sciences / Uluslararasi Avrasya Sosyal Bilimler Dergisi. Mar2022, Vol. 13 Issue 47, p191-210. 20p.

Abstract:Real estate investment funds (REIF) took their place in the Turkish capital market with the communiqué of the Capital Markets Board CMB dated 03.01.2014. REIFs are institutions that bring together the construction industry in Turkey with corporate fina...

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Active Technological Similarity and Mutual Fund Performance.

Publication Type:Academic Journal

Source(s):Journal of Financial & Quantitative Analysis; Aug2022, Vol. 57 Issue 5, p1862-1884, 23p

Abstract:Copyright of Journal of Financial & Quantitative Analysis is the property of Cambridge University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. Ho...

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ÇOK ÖLÇÜTLÜ KARAR VERME YÖNTEMLERİ İLE FİNANSAL PERFORMANS SIRALAMALARI: PORTFÖY YÖNETİM ŞİRKETLERİ ÜZERİNE BİR UYGULAMA.

Publication Type:Academic Journal

Source(s):Erciyes Akademi. Dec2021, Vol. 35 Issue 4, p1451-1480. 30p.

Abstract:Literatürde finansal kuruluşların finansal performanslarının karşılaştırıldığı çok sayıda çalışma bulunmaktadır. Hangi yöntemin hangi şirket veya sektör için en uygun olduğu veya olabileceği sorunsalı çerçevesinde çalışmalar, birbirinden farklı ve çok ...

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The impact of volatility scaling on factor portfolio performance and factor timing.

Publication Type:Academic Journal

Source(s):Journal of Asset Management. Oct2022, Vol. 23 Issue 6, p522-533. 12p.

Abstract:This paper investigates the effects of volatility scaling on factor portfolio performance and factor timing. We focus on the four equity factors analyzed by Carhart (1997) and find that volatility scaling may lead to higher diversification benefits for...

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Group sparse enhanced indexation model with adaptive beta value.

Publication Type:Academic Journal

Source(s):Quantitative Finance. Oct2022, Vol. 22 Issue 10, p1905-1926. 22p.

Abstract:Enhanced indexing, which has been used by professional portfolio managers for decades, is a portfolio management strategy that attempts to increase returns by building a portfolio around core, index-like positions and adding tactical tilts toward speci...

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Portfolio optimization with sparse multivariate modeling.

Publication Type:Academic Journal

Source(s):Journal of Asset Management. Oct2022, Vol. 23 Issue 6, p445-465. 21p.

Abstract:Portfolio optimization approaches inevitably rely on multivariate modeling of markets and the economy. In this paper, we address three sources of error related to the modeling of these complex systems: 1. oversimplifying hypothesis; 2. uncertainties re...

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Ex-ante performance of REIT portfolios.

Publication Type:Academic Journal

Source(s):Review of Quantitative Finance & Accounting. Oct2022, Vol. 59 Issue 3, p995-1018. 24p.

Abstract:The Real Estate Investment Trust (REIT) market has become an increasingly important vehicle for alternative investment for equity investors. While existing research examining the cross-section of REIT returns usually employs standard risk factors in th...

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Subsampled factor models for asset pricing: The rise of Vasa.

Publication Type:Academic Journal

Source(s):Journal of Forecasting. Sep2022, Vol. 41 Issue 6, p1217-1247. 31p.

Abstract:We propose a new method, variable subsample aggregation (VASA), for equity return prediction using a large‐dimensional set of factors. To demonstrate the effectiveness, robustness, and dimension reduction power of VASA, we perform a comparative analysi...

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