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Portfolio Theory: A Step Toward Its Practical Application

Citations

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Cited by:

  1. Turan G. Bali & Robert F. Engle & Yi Tang, 2017. "Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns," Management Science, INFORMS, vol. 63(11), pages 3760-3779, November.
  2. Seung C. Ahn & Alex R. Horenstein, 2017. "Asset Pricing and Excess Returns over the Market Return," Working Papers 2017-12, University of Miami, Department of Economics.
  3. Haizhong Wang & Hong Yuan & Xiaolin Li & Huaxi Li, 2019. "The impact of psychological identification with home-name stocks on investor behavior: an empirical and experimental investigation," Journal of the Academy of Marketing Science, Springer, vol. 47(6), pages 1109-1130, November.
  4. Valadkhani, Abbas & Moradi-Motlagh, Amir, 2023. "An empirical analysis of exchange-traded funds in the US," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 995-1009.
  5. Lo, Andrew W & MacKinlay, A Craig, 1990. "Data-Snooping Biases in Tests of Financial Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 3(3), pages 431-467.
  6. Catherine Georgiou, 2020. "The British Stock Market under the Structure of Market Capitalization Value: New Evidence on its Predictive Content," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 13(3), pages 56-69, December.
  7. J. David Spiceland & Jerry E. Trapnell, 1983. "The Effect Of Market Conditions And Risk Classifications On Market Model Parameters," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(3), pages 217-222, September.
  8. Kouadio, Jean Joel & Mwamba, Muteba & Bonga-Bonga, Lumengo, 2019. "Empirical evidence of systemic tail risk premium in the Johannesburg Stock Exchange," MPRA Paper 96570, University Library of Munich, Germany.
  9. repec:aer:wpaper:47 is not listed on IDEAS
  10. Tim Bollerslev & Sophia Zhengzi Li & Viktor Todorov, 2014. "Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns," CREATES Research Papers 2014-48, Department of Economics and Business Economics, Aarhus University.
  11. Enrico G. De Giorgi & Thierry Post & Atakan Yalcin, 2012. "A Concave Security Market Line," Koç University-TUSIAD Economic Research Forum Working Papers 1211, Koc University-TUSIAD Economic Research Forum.
  12. Boons, Martijn, 2016. "State variables, macroeconomic activity, and the cross section of individual stocks," Journal of Financial Economics, Elsevier, vol. 119(3), pages 489-511.
  13. Kaplanski, Guy, 2004. "Traditional beta, downside risk beta and market risk premiums," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(5), pages 636-653, December.
  14. Adam Zaremba, 2019. "The Cross Section of Country Equity Returns: A Review of Empirical Literature," JRFM, MDPI, vol. 12(4), pages 1-26, October.
  15. Geoffrey Shuetrim, 1998. "Systematic Risk Characteristics of Corporate Equity," RBA Research Discussion Papers rdp9802, Reserve Bank of Australia.
  16. Pujian Yang & Liu Yang, 2022. "Asset pricing and nominal price illusion in China," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-9, December.
  17. Jean-Jacques Rosa, 1976. "Rentabilité, risque et équilibre à la Bourse de Paris," Revue Économique, Programme National Persée, vol. 27(4), pages 608-662.
  18. Bollerslev, Tim & Li, Sophia Zhengzi & Todorov, Viktor, 2016. "Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 120(3), pages 464-490.
  19. Modigliani, Franco. & Pogue, G. A., 1973. "An introduction to risk and return concepts and evidence," Working papers 646-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  20. Misund, Bard & Mohn, Klaus, 2014. "Exploration Risk in Oil & Gas Shareholder Returns," UiS Working Papers in Economics and Finance 2014/4, University of Stavanger.
  21. Michelle L. Barnes & Anthony W. Hughes, 2002. "A quantile regression analysis of the cross section of stock market returns," Working Papers 02-2, Federal Reserve Bank of Boston.
  22. Farah, N. & Satchell, S.E., 2003. "A Loss Aversion Performance Measure," Cambridge Working Papers in Economics 0333, Faculty of Economics, University of Cambridge.
  23. Xue-Feng Shao & Kostas Gouliamos & Ben Nan-Feng Luo & Shigeyuki Hamori & Stephen Satchell & Xiao-Guang Yue & Jane Qiu, 2020. "Diversification and Desynchronicity: An Organizational Portfolio Perspective on Corporate Risk Reduction," Risks, MDPI, vol. 8(2), pages 1-16, May.
  24. Turan G. Bali & Nusret Cakici & Yi Tang, 2009. "The Conditional Beta and the Cross‐Section of Expected Returns," Financial Management, Financial Management Association International, vol. 38(1), pages 103-137, March.
  25. Marcin Wk{a}torek & Jaros{l}aw Kwapie'n & Stanis{l}aw Dro.zd.z, 2021. "Financial Return Distributions: Past, Present, and COVID-19," Papers 2107.06659, arXiv.org.
  26. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, December.
  27. Malliaropulos, Dimitris & Migiakis, Petros, 2018. "The re-pricing of sovereign risks following the Global Financial Crisis," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 39-56.
  28. Ray Ball & Philip Brown & R. R. Officer, 1976. "Asset Pricing in the Australian Industrial Equity Market," Australian Journal of Management, Australian School of Business, vol. 1(1), pages 1-32, April.
  29. Mayanja, Abubaker B. & Legesi, Kenneth, 2007. "Risk and Return on Uganda's stock exchange," MPRA Paper 6407, University Library of Munich, Germany, revised Aug 2007.
  30. Ana María Olaya, 2002. "Las finanzas en la frontera del conocimiento," Borradores de Investigación 3114, Universidad del Rosario.
  31. Drama, Bedi Guy Herve & Yao, Shen, 2010. "Management of Stock Price and it Effect on Economic Growth: Case study of West African Financial Markets," MPRA Paper 24907, University Library of Munich, Germany.
  32. Güler ARAS & İlhan ÇAM & Bilal ZAVALSIZ & Serkan KESKİN, 2018. "Fama-French Çok Faktör Varlık Fiyatlama Modellerinin Performanslarının Karşılaştırılması: Borsa İstanbul Üzerine Bir Uygulama," Istanbul Business Research, Istanbul University Business School, vol. 47(2), pages 183-207, November.
  33. Calice, Giovanni & Lin, Ming-Tsung, 2021. "Exploring risk premium factors for country equity returns," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 294-322.
  34. Adam ZAREMBA, 2015. "Low Risk Anomaly In The Cee Stock Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 81-102, September.
  35. Drama Bedi Guy HERVE & Yao SHEN, 2010. "Management Of Stock Price And Its Effect On Economic Growth: Case Study Of West African Financial Markets," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 5(3(13)/Fal), pages 231-246.
  36. Chintal Desai & Gregory Elliehausen & Edward Lawrence, 2014. "On the County-Level Credit Outcome Beta," Journal of Financial Services Research, Springer;Western Finance Association, vol. 45(2), pages 201-218, April.
  37. Jacek Lipiec, 2014. "Capital Asset Pricing Model Testing at Warsaw Stock Exchange: Are Family Businesses the Remedy for Economic Recessions?," IJFS, MDPI, vol. 2(3), pages 1-14, July.
  38. Pablo Cristini Guedes & Fernanda Maria Müller & Marcelo Brutti Righi, 2023. "Risk measures-based cluster methods for finance," Risk Management, Palgrave Macmillan, vol. 25(1), pages 1-56, March.
  39. Humaira Asad & Faraz Khalid Cheema, 2017. "An Empirical Assessment of the Q-Factor Model: Evidence from the Karachi Stock Exchange," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 22(2), pages 117-138, July-Dec.
  40. repec:fau:fauart:v:65:y:2015:i:1:p:84-104 is not listed on IDEAS
  41. De Giorgi, Enrico G. & Post, Thierry & Yalçın, Atakan, 2019. "A concave security market line," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 65-81.
  42. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2022. "Realized semibetas: Disentangling “good” and “bad” downside risks," Journal of Financial Economics, Elsevier, vol. 144(1), pages 227-246.
  43. Heuts, R.M.J., 1977. "Capital market models for portfolio selection (A revised version)," Other publications TiSEM d8385669-c29b-4bf1-ba60-7, Tilburg University, School of Economics and Management.
  44. Michaelides, Michael & Spanos, Aris, 2020. "On modeling heterogeneity in linear models using trend polynomials," Economic Modelling, Elsevier, vol. 85(C), pages 74-86.
  45. Asgar Ali & K. N. Badhani, 2021. "Beta-Anomaly: Evidence from the Indian Equity Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(1), pages 55-78, March.
  46. Chincarini, Ludwig B. & Kim, Daehwan & Moneta, Fabio, 2020. "Beta and firm age," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 50-74.
  47. Breloer, Bernhard & Scholz, Hendrik & Wilkens, Marco, 2014. "Performance of international and global equity mutual funds: Do country momentum and sector momentum matter?," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 58-77.
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