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Performance Hypothesis Testing with the Sharpe and Treynor Measures

Citations

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Cited by:

  1. Gabriel Frahm & Tobias Wickern & Christof Wiechers, 2012. "Multiple tests for the performance of different investment strategies," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(3), pages 343-383, July.
  2. Hochradl, Markus & Wagner, Christian, 2010. "Trading the forward bias: Are there limits to speculation?," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 423-441, April.
  3. Jondeau, Eric & Zhang, Qunzi & Zhu, Xiaoneng, 2019. "Average skewness matters," Journal of Financial Economics, Elsevier, vol. 134(1), pages 29-47.
  4. Christian Walkshäusl & Sebastian Lobe, 2010. "Fundamental indexing around the world," Review of Financial Economics, John Wiley & Sons, vol. 19(3), pages 117-127, August.
  5. Mohamed Arouri & Duc Khuong Nguyen & Kuntara Pukthuanthong, 2014. "Diversification benefits and strategic portfolio allocation across asset classes: The case of the US markets," Working Papers 2014-294, Department of Research, Ipag Business School.
  6. López, Raquel & Esparcia, Carlos, 2021. "Analysis of the performance of volatility-based trading strategies on scheduled news announcement days: An international equity market perspective," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 32-54.
  7. Lean, Hooi Hooi & McAleer, Michael & Wong, Wing-Keung, 2010. "Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach," Energy Economics, Elsevier, vol. 32(5), pages 979-986, September.
  8. Caporin, Massimiliano & Costola, Michele & Jannin, Gregory & Maillet, Bertrand, 2018. "“On the (Ab)use of Omega?”," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 11-33.
  9. Pier Francesco Procacci & Tomaso Aste, 2018. "Forecasting market states," Papers 1807.05836, arXiv.org, revised May 2019.
  10. Egbers, Tom & Swinkels, Laurens, 2015. "Can implied volatility predict returns on the currency carry trade?," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 14-26.
  11. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 341-381, September.
  12. Olessia Caillé & Daria Onori, 2019. "Conditional Risk-Based Portfolio," Finance, Presses universitaires de Grenoble, vol. 40(2), pages 77-117.
  13. Eric Jondeau & Xuewu Wang & Zhipeng Yan & Qunzi Zhang, 2020. "Skewness and index futures return," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1648-1664, November.
  14. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joëlle, 2019. "A comprehensive appraisal of style-integration methods," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 134-150.
  15. Sepideh Dolatabadi & Paresh Kumar Narayan & Morten Ørregaard Nielsen & Ke Xu, 2018. "Economic significance of commodity return forecasts from the fractionally cointegrated VAR model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 219-242, February.
  16. Xu, Ke & Stewart, Kenneth G. & Cao, Zeyang, 2022. "Fractional cointegration and price discovery in Canadian commodities," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  17. Haggard, K. Stephen & Witte, H. Douglas, 2010. "The Halloween effect: Trick or treat?," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 379-387, December.
  18. Sven Husmann & Antoniya Shivarova & Rick Steinert, 2019. "Sparsity and Stability for Minimum-Variance Portfolios," Papers 1910.11840, arXiv.org.
  19. Bulkley, George & Harris, Richard D.F. & Nawosah, Vivekanand, 2015. "Can behavioral biases explain the rejections of the expectation hypothesis of the term structure of interest rates?," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 179-193.
  20. Gossé, Jean-Baptiste & Jehle, Camille, 2024. "Benefits of diversification in EU capital markets: Evidence from stock portfolios," Economic Modelling, Elsevier, vol. 135(C).
  21. Auer, Benjamin R., 2015. "Does the choice of performance measure influence the evaluation of commodity investments?," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 142-150.
  22. Cheng Yan & Ji Yan, 2021. "Optimal and naive diversification in an emerging market: Evidence from China's A‐shares market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3740-3758, July.
  23. Jose Dias Curto & Jose Castro Pinto, 2009. "The coefficient of variation asymptotic distribution in the case of non-iid random variables," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(1), pages 21-32.
  24. Ledoit, Oliver & Wolf, Michael, 2008. "Robust performance hypothesis testing with the Sharpe ratio," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 850-859, December.
  25. Lucio De Capitani, 2012. "Interval estimation for the Sharpe Ratio when returns are not i.i.d. with special emphasis on the GARCH(1,1) process with symmetric innovations," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 21(4), pages 517-537, November.
  26. Trinks, Arjan & Scholtens, Bert & Mulder, Machiel & Dam, Lammertjan, 2017. "Divesting Fossil Fuels: The Implications for Investment Portfolios," MPRA Paper 76383, University Library of Munich, Germany.
  27. Dominic Gasbarro & Wing-Keung Wong & J. Kenton Zumwalt, 2007. "Stochastic Dominance Analysis of iShares," The European Journal of Finance, Taylor & Francis Journals, vol. 13(1), pages 89-101.
  28. Bauer, Rob & Derwall, Jeroen & Molenaar, Roderick, 2004. "The real-time predictability of the size and value premium in Japan," Pacific-Basin Finance Journal, Elsevier, vol. 12(5), pages 503-523, November.
  29. William N. Goetzmann & Philippe Jorion, 1997. "A Century of Global Stock Markets," NBER Working Papers 5901, National Bureau of Economic Research, Inc.
  30. Taras Bodnar & Holger Dette & Nestor Parolya & Erik Thors'en, 2019. "Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions," Papers 1908.04243, arXiv.org, revised Apr 2023.
  31. Candelon, B. & Hurlin, C. & Tokpavi, S., 2012. "Sampling error and double shrinkage estimation of minimum variance portfolios," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 511-527.
  32. Petukhina, Alla & Trimborn, Simon & Härdle, Wolfgang Karl & Elendner, Hermann, 2018. "Investing with cryptocurrencies - evaluating the potential of portfolio allocation strategies," IRTG 1792 Discussion Papers 2018-058, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  33. Olivier Ledoit & Michael Wolf, 2018. "Robust performance hypothesis testing with smooth functions of population moments," ECON - Working Papers 305, Department of Economics - University of Zurich.
  34. E. Blinder & C. S. Cheung & I. Krinsky, 1991. "South Africa Divestment: The Canadian Case," Canadian Public Policy, University of Toronto Press, vol. 17(1), pages 25-36, March.
  35. Zaleczna Magdalena & Wolski Rafał, 2010. "Polish Pension Funds Investment - is There A Place For Real Property in A Portfolio?," Folia Oeconomica Stetinensia, Sciendo, vol. 9(1), pages 151-166, January.
  36. Liljeblom, Eva & Loflund, Anders & Krokfors, Svante, 1997. "The benefits from international diversification for Nordic investors," Journal of Banking & Finance, Elsevier, vol. 21(4), pages 469-490, April.
  37. Chen, Tzu-Ying & Tsai, An-Mei & Tzeng, Larry Y., 2022. "Revisiting almost marginal conditional stochastic dominance," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 260-269.
  38. Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio performance of linear SDF models: an out-of-sample assessment," Quantitative Finance, Taylor & Francis Journals, vol. 18(8), pages 1425-1436, August.
  39. Boudt, Kris & Daníelsson, Jón & Laurent, Sébastien, 2013. "Robust forecasting of dynamic conditional correlation GARCH models," International Journal of Forecasting, Elsevier, vol. 29(2), pages 244-257.
  40. Eric Benhamou, 2018. "Connecting Sharpe ratio and Student t-statistic, and beyond," Papers 1808.04233, arXiv.org, revised May 2019.
  41. de Groot, Wilma & Pang, Juan & Swinkels, Laurens, 2012. "The cross-section of stock returns in frontier emerging markets," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 796-818.
  42. Mauro Bernardi & Daniele Bianchi & Nicolas Bianco, 2022. "Smoothing volatility targeting," Papers 2212.07288, arXiv.org.
  43. Eling, Martin & Faust, Roger, 2010. "The performance of hedge funds and mutual funds in emerging markets," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1993-2009, August.
  44. J. Annaert & J.K. De Ceuster & W. Van Hyfte, 2002. "The Value of Asset Allocation Advice - Evidence of The Economist’s Quarterly Portfolio Poll," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 02/160, Ghent University, Faculty of Economics and Business Administration.
  45. Jangkoo Kang & Kyung Yoon Kwon, 2021. "Volatility‐managed commodity futures portfolios," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(2), pages 159-178, February.
  46. Lara Dalmeyer & Tim Gebbie, 2021. "Geometric insights into robust portfolio construction," Papers 2107.06194, arXiv.org, revised Jul 2024.
  47. PANAGIOTIS Anastasiadis & EFTHIMIOS Katsaros & ANASTASIOS-TAXIARCHIS KOUTSIOUKIS, 2020. "Performance-Risk Nexus Of Global Low-Rated Etfs During The Qe-Tapering Period," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 15(1), pages 194-211, April.
  48. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.
  49. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2014. "Global Style Portfolios Based on Country Indices," MPRA Paper 53094, University Library of Munich, Germany.
  50. Lagoarde-Segot, Thomas & Lucey, Brian M., 2007. "International portfolio diversification: Is there a role for the Middle East and North Africa?," Journal of Multinational Financial Management, Elsevier, vol. 17(5), pages 401-416, December.
  51. Niu, Cuizhen & Guo, Xu & McAleer, Michael & Wong, Wing-Keung, 2018. "Theory and application of an economic performance measure of risk," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 383-396.
  52. Konstantinidi, Eirini & Skiadopoulos, George, 2016. "How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 62-75.
  53. Symitsi, Efthymia & Markellos, Raphael N. & Mantrala, Murali K., 2022. "Keyword portfolio optimization in paid search advertising," European Journal of Operational Research, Elsevier, vol. 303(2), pages 767-778.
  54. Dorota Witkowska & Krzysztof Kompa, 2017. "How the Change of Governing Party Influences the Efficiency of Financial Market in Poland," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 17, pages 147-159.
  55. Daniel Kinn, 2018. "Reducing Estimation Risk in Mean-Variance Portfolios with Machine Learning," Papers 1804.01764, arXiv.org, revised Jul 2018.
  56. Korkie, Bob & Nakamura, Mansao & Turtle, Harry J., 2001. "A contingent claim analysis of closed-end fund premia," International Review of Financial Analysis, Elsevier, vol. 10(4), pages 365-394.
  57. Stefano Herzel & Marco Nicolosi & Cătălin Stărică, 2012. "The cost of sustainability in optimal portfolio decisions," The European Journal of Finance, Taylor & Francis Journals, vol. 18(3-4), pages 333-349, May.
  58. Božović, Miloš, 2024. "VIX-managed portfolios," International Review of Financial Analysis, Elsevier, vol. 95(PA).
  59. Okhrin, Yarema & Schmid, Wolfgang, 2006. "Distributional properties of portfolio weights," Journal of Econometrics, Elsevier, vol. 134(1), pages 235-256, September.
  60. George M. Constantinides & Michal Czerwonko & Jens Carsten Jackwerth & Stylianos Perrakis, 2011. "Are Options on Index Futures Profitable for Risk‐Averse Investors? Empirical Evidence," Journal of Finance, American Finance Association, vol. 66(4), pages 1407-1437, August.
  61. Daskalaki, Charoula & Skiadopoulos, George & Topaloglou, Nikolas, 2017. "Diversification benefits of commodities: A stochastic dominance efficiency approach," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 250-269.
  62. Li, Tianyuan & Chen, Ping, 2024. "Asset allocation combining macro and micro information–Empirical test based on entropy pool model," Finance Research Letters, Elsevier, vol. 64(C).
  63. Stephen L. Lee & Simon Stevenson, 2001. "Time Weighted Portfolio Optimisation," ERES eres2001_207, European Real Estate Society (ERES).
  64. Cumming, Douglas & Helge Haß, Lars & Schweizer, Denis, 2013. "Private equity benchmarks and portfolio optimization," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3515-3528.
  65. Hui Guo & Jason Higbee, 2006. "Market timing with aggregate and idiosyncratic stock volatilities," Working Papers 2005-073, Federal Reserve Bank of St. Louis.
  66. Balli, Faruk & Balli, Hatice O., 2011. "Sectoral equity returns in the Euro region: Is there any room for reducing portfolio risk?," Journal of Economics and Business, Elsevier, vol. 63(2), pages 89-106.
  67. Michael A Kelly & Steven P Clark, 2011. "Returns in trading versus non-trading hours: The difference is day and night," Journal of Asset Management, Palgrave Macmillan, vol. 12(2), pages 132-145, June.
  68. Massimo Guidolin & Federica Ria, 2011. "Regime shifts in mean-variance efficient frontiers: Some international evidence," Journal of Asset Management, Palgrave Macmillan, vol. 12(5), pages 322-349, November.
  69. Eugen Ivanov & Aleksey Min & Franz Ramsauer, 2017. "Copula-Based Factor Models for Multivariate Asset Returns," Econometrics, MDPI, vol. 5(2), pages 1-24, May.
  70. Frahm, Gabriel, 2007. "Testing for the best alternative with an application to performance measurement," Discussion Papers in Econometrics and Statistics 7/07, University of Cologne, Institute of Econometrics and Statistics.
  71. Christian Walkshäusl & Sebastian Lobe, 2012. "Islamic investing," Review of Financial Economics, John Wiley & Sons, vol. 21(2), pages 53-62, April.
  72. Anlan Wang & Aleš Kresta & Tomáš Tichý, 2024. "Evaluation of strategy portfolios," Computational Management Science, Springer, vol. 21(1), pages 1-27, June.
  73. Caner, Mehmet & Medeiros, Marcelo & Vasconcelos, Gabriel F.R., 2023. "Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 393-417.
  74. Gianni Filograsso & Giacomo Tollo, 2023. "Adaptive evolutionary algorithms for portfolio selection problems," Computational Management Science, Springer, vol. 20(1), pages 1-38, December.
  75. Jeroen Derwall & Kees Koedijk, 2009. "Socially Responsible Fixed‐Income Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(1‐2), pages 210-229, January.
  76. van Zundert, Jeroen, 2018. "Empirical studies on the cross-section of corporate bond and stock markets," Other publications TiSEM 338205fc-a031-4e06-a636-9, Tilburg University, School of Economics and Management.
  77. Rad, Hossein & Low, Rand Kwong Yew & Miffre, Joëlle & Faff, Robert, 2022. "The strategic allocation to style-integrated portfolios of commodity futures," Journal of Commodity Markets, Elsevier, vol. 28(C).
  78. Jacobs, Heiko & Müller, Sebastian & Weber, Martin, 2014. "How should individual investors diversify? An empirical evaluation of alternative asset allocation policies," Journal of Financial Markets, Elsevier, vol. 19(C), pages 62-85.
  79. Zakamulin, Valeriy & Giner, Javier, 2022. "Time series momentum in the US stock market: Empirical evidence and theoretical analysis," International Review of Financial Analysis, Elsevier, vol. 82(C).
  80. John Knight & Stephen Satchell, 2005. "A Re-Examination of Sharpe's Ratio for Log-Normal Prices," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(1), pages 87-100.
  81. Seitz, Franz & Auer, Benjamin R., 2008. "Performancemessung: Theoretische Maße und empirische Umsetzung mit VBA," Weidener Diskussionspapiere 12, University of Applied Sciences Amberg-Weiden (OTH).
  82. Benjamin R. Auer, 2016. "Do Socially Responsible Investment Policies Add or Destroy European Stock Portfolio Value?," Journal of Business Ethics, Springer, vol. 135(2), pages 381-397, May.
  83. Zhou, Xianming, 1999. "Executive compensation and managerial incentives: A comparison between Canada and the United States1," Journal of Corporate Finance, Elsevier, vol. 5(3), pages 277-301, September.
  84. Jeroen Derwall & Kees Koedijk, 2009. "Socially Responsible Fixed-Income Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(1-2), pages 210-229.
  85. Borgsen, Sina & Glaser, Markus, 2005. "Diversifikationseffekte durch Small und Mid Caps?," Sonderforschungsbereich 504 Publications 05-10, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  86. Demir Bektić, 2018. "The low beta anomaly: A corporate bond investor's perspective," Review of Financial Economics, John Wiley & Sons, vol. 36(4), pages 300-306, October.
  87. Annaert, Jan & De Ceuster, Marc J. K., 1997. "The Big Mac: More than a junk asset allocator?," International Review of Financial Analysis, Elsevier, vol. 6(3), pages 179-192.
  88. Sven Husmann & Antoniya Shivarova & Rick Steinert, 2022. "Sparsity and stability for minimum-variance portfolios," Risk Management, Palgrave Macmillan, vol. 24(3), pages 214-235, September.
  89. Bekaert, Geert & Panayotov, George, 2020. "Good Carry, Bad Carry," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(4), pages 1063-1094, June.
  90. Valeriy Zakamulin & Javier Giner, 2024. "Optimal trend-following rules in two-state regime-switching models," Journal of Asset Management, Palgrave Macmillan, vol. 25(4), pages 327-348, July.
  91. Balli, Faruk & Basher, Syed Abul & Jean Louis, Rosmy, 2013. "Sectoral equity returns and portfolio diversification opportunities across the GCC region," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 33-48.
  92. Johannes Hauptmann & Anja Hoppenkamps & Aleksey Min & Franz Ramsauer & Rudi Zagst, 2014. "Forecasting market turbulence using regime-switching models," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(2), pages 139-164, May.
  93. Phengpis, Chanwit & Swanson, Peggy E., 2004. "Increasing input information and realistically measuring potential diversification gains from international portfolio investments," Global Finance Journal, Elsevier, vol. 15(2), pages 197-217, August.
  94. Wolfgang Schmid & Taras Zabolotskyy, 2008. "On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 92(1), pages 29-34, February.
  95. John G. Gallo & Larry J. Lockwood & Ying Zhang, 2013. "Structuring Global Property Portfolios: A Cointegration Approach," Journal of Real Estate Research, American Real Estate Society, vol. 35(1), pages 53-82.
  96. Bilson, John F.O. & Cernauskas, Deborah, 2007. "Currency and credit markets," Journal of International Money and Finance, Elsevier, vol. 26(7), pages 1187-1205, November.
  97. Stevenson, Simon, 2001. "Emerging markets, downside risk and the asset allocation decision," Emerging Markets Review, Elsevier, vol. 2(1), pages 50-66, March.
  98. Chanwit Phengpis & Peggy Swanson, 2011. "Optimization, cointegration and diversification gains from international portfolios: an out-of-sample analysis," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 269-286, February.
  99. Dominic Gasbarro & Wing-Keung Wong & J. Kenton Zumwalt, 2007. "Stochastic Dominance Analysis of iShares," The European Journal of Finance, Taylor & Francis Journals, vol. 13(1), pages 89-101.
  100. Didik Susilo & Sugeng Wahyudi & Irene Rini Demi Pangestuti, 2020. "Factors Affecting the Indonesia Stock Exchange: A Multi-Index Approach," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(2), pages 196-204, April.
  101. Eun, Cheol S. & Resnick, Bruce G., 1997. "International equity investment with selective hedging strategies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(1), pages 21-42, April.
  102. Abugri, Benjamin A. & Dutta, Sandip, 2009. "Emerging market hedge funds: Do they perform like regular hedge funds?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 834-849, December.
  103. Cogneau, Philippe & Hübner, Georges, 2015. "The prediction of fund failure through performance diagnostics," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 224-241.
  104. Marie-Paule Laurent, 2003. "Indices as diversification instruments in Europe," Working Papers CEB 03-004.RS, ULB -- Universite Libre de Bruxelles.
  105. Michele Costola & Bertrand Maillet & Zhining Yuan & Xiang Zhang, 2024. "Mean–variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem," Annals of Operations Research, Springer, vol. 334(1), pages 133-155, March.
  106. Bruno Solnik & Thaisiri Watewai, 2016. "International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns," PIER Discussion Papers 31, Puey Ungphakorn Institute for Economic Research.
  107. Gilmore, Claire G. & McManus, Ginette M. & Tezel, Ahmet, 2005. "Portfolio allocations and the emerging equity markets of Central Europe," Journal of Multinational Financial Management, Elsevier, vol. 15(3), pages 287-300, July.
  108. Mohammad Sharifzadeh & Simin Hojat, 2012. "An analytical performance comparison of exchange-traded funds with index funds: 2002–2010," Journal of Asset Management, Palgrave Macmillan, vol. 13(3), pages 196-209, June.
  109. Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004. "An econometric model of serial correlation and illiquidity in hedge fund returns," Journal of Financial Economics, Elsevier, vol. 74(3), pages 529-609, December.
  110. Han, Xing & Li, Youwei, 2017. "Can investor sentiment be a momentum time-series predictor? Evidence from China," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 212-239.
  111. Habrov, Vladimir, 2012. "Optimization of portfolio management based on vector autoregression models and multivariate volatility models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 28(4), pages 35-62.
  112. Joel Owen & Ramón Rabinovitch, 1999. "Ranking Portfolio Performance: An Application of a Joint Means and Variances Equality Test," Journal of Applied Economics, Universidad del CEMA, vol. 2, pages 97-130, May.
  113. Haß, Lars Helge & Johanning, Lutz & Rudolph, Bernd & Schweizer, Denis, 2012. "Open-ended property funds: Risk and return profile — Diversification benefits and liquidity risks," International Review of Financial Analysis, Elsevier, vol. 21(C), pages 90-107.
  114. Gao, Yang & Leung, Henry & Satchell, Stephen, 2022. "Partial moment momentum," Journal of Banking & Finance, Elsevier, vol. 135(C).
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  116. Mesakh Prihanto Surya Putra & Apriani Dorkas Rambu Atahau & Robiyanto Robiyanto, 2018. "Cross–asset class portfolio between gold and stocks in Indonesia," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 10(1), pages 69-81, April.
  117. Ardia, David & Boudt, Kris, 2015. "Testing equality of modified Sharpe ratios," Finance Research Letters, Elsevier, vol. 13(C), pages 97-104.
  118. Mariusz Czekala & Zbigniew Kurylek, 2021. "Inversions Distribution and Testing Correlation Changes for Rates of Return," European Research Studies Journal, European Research Studies Journal, vol. 0(3B), pages 633-650.
  119. Luan, Fei & Zhang, Weiguo & Liu, Yongjun, 2022. "Robust international portfolio optimization with worst‐case mean‐CVaR," European Journal of Operational Research, Elsevier, vol. 303(2), pages 877-890.
  120. Monica Defend & Aleksey Min & Lorenzo Portelli & Franz Ramsauer & Francesco Sandrini & Rudi Zagst, 2021. "Quantifying Drivers of Forecasted Returns Using Approximate Dynamic Factor Models for Mixed-Frequency Panel Data," Forecasting, MDPI, vol. 3(1), pages 1-35, February.
  121. Marie Briere & Bastien Drut, 2009. "The Revenge of Purchasing Power Parity on Carry Trades during Crises," Working Papers CEB 09-013.RS, ULB -- Universite Libre de Bruxelles.
  122. Daniele Mancinelli & Immacolata Oliva, 2023. "Constant or Variable? A Performance Analysis among Portfolio Insurance Strategies," Risks, MDPI, vol. 11(6), pages 1-14, June.
  123. Thomas Trier Bjerring & Kourosh Marjani Rasmussen & Alex Weissensteiner, 2018. "Portfolio selection under supply chain predictability," Computational Management Science, Springer, vol. 15(2), pages 139-159, June.
  124. Liu, Qingfu & Tu, Anthony H., 2012. "Jump spillovers in energy futures markets: Implications for diversification benefits," Energy Economics, Elsevier, vol. 34(5), pages 1447-1464.
  125. Rim Bernoussi & Michael Rockinger, 2023. "Rebalancing with transaction costs: theory, simulations, and actual data," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(2), pages 121-160, June.
  126. Bruno Solnik & Thaisiri Watewai, 2016. "International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns," PIER Discussion Papers 31., Puey Ungphakorn Institute for Economic Research, revised Jun 2016.
  127. Cederburg, Scott & O’Doherty, Michael S. & Wang, Feifei & Yan, Xuemin (Sterling), 2020. "On the performance of volatility-managed portfolios," Journal of Financial Economics, Elsevier, vol. 138(1), pages 95-117.
  128. Ni, Xuanming & Zheng, Tiantian & Zhao, Huimin & Zhu, Shushang, 2023. "High-dimensional portfolio optimization based on tree-structured factor model," Pacific-Basin Finance Journal, Elsevier, vol. 81(C).
  129. Walkshäusl, Christian & Lobe, Sebastian, 2012. "Islamic investing," Review of Financial Economics, Elsevier, vol. 21(2), pages 53-62.
  130. Stadtmüller, Immo & Auer, Benjamin R. & Schuhmacher, Frank, 2022. "On the benefits of active stock selection strategies for diversified investors," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 342-354.
  131. Guillermo Badía & Vicente Pina & Lourdes Torres, 2019. "Financial Performance of Government Bond Portfolios Based on Environmental, Social and Governance Criteria," Sustainability, MDPI, vol. 11(9), pages 1-13, April.
  132. Markus Hirschberger & Ralph E. Steuer & Sebastian Utz & Maximilian Wimmer & Yue Qi, 2013. "Computing the Nondominated Surface in Tri-Criterion Portfolio Selection," Operations Research, INFORMS, vol. 61(1), pages 169-183, February.
  133. Bao, Yong & Ullah, Aman, 2006. "Moments of the estimated Sharpe ratio when the observations are not IID," Finance Research Letters, Elsevier, vol. 3(1), pages 49-56, March.
  134. Stephan Kessler & Bernd Scherer, 2013. "Momentum and macroeconomic state variables," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(4), pages 335-363, December.
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