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Management Science, 2023
We analyze the relation between time-series predictability and factor investing. We use a large set of financial, macroeconomic, and technical variables to time-series-manage the market portfolio. A combination of the out-of-sample market excess return forecasts of all variables yields a managed market portfolio that generates alphas relative to cross-
Fabian Hollstein, Marcel Prokopczuk
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We analyze the relation between time-series predictability and factor investing. We use a large set of financial, macroeconomic, and technical variables to time-series-manage the market portfolio. A combination of the out-of-sample market excess return forecasts of all variables yields a managed market portfolio that generates alphas relative to cross-
Fabian Hollstein, Marcel Prokopczuk
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Delegated portfolio management and optimal allocation of portfolio managers
Applied Economics, 2015In this article, we investigate whether the application of the mean-variance framework on portfolio manager allocation offers any out-of-sample benefits compared to a naive strategy of equal weighting. Based on an exclusive data-set of high-net-worth (HNW) investors, we utilize a wide variety of methodologies to estimate the input parameters including ...
Christensen, Michael; id_orcid 0000-0001-8602-4596 +2 more
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PORTFOLIO MANAGEMENT WITH CONSTRAINTS
Mathematical Finance, 2007The traditional portfolio selection problem concerns an agent whose objective is to maximize the expected utility of terminal wealth over some horizon. This basic problem can be modified by adding constraints. In this paper we investigate the portfolio selection problem for an investor who desires to outperform some benchmark index with a certain ...
Boyle, Phelim, Tian, Weidong
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The Journal of Finance, 1973
Theologians and laymen forever ponder and speculate about God's motivations, His demands on mankind, His decision-making process, and sometimes of course, His very existence. I shall not discuss the latter question; rather I shall assume that He exists.
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Theologians and laymen forever ponder and speculate about God's motivations, His demands on mankind, His decision-making process, and sometimes of course, His very existence. I shall not discuss the latter question; rather I shall assume that He exists.
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2010
Basic ideas concerning risk pooling and risk transfer, presented in Chap. 1, are progressed further in the present Chapter, mainly with the following purposes:
Annamaria Olivieri, Ermanno Pitacco
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Basic ideas concerning risk pooling and risk transfer, presented in Chap. 1, are progressed further in the present Chapter, mainly with the following purposes:
Annamaria Olivieri, Ermanno Pitacco
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Proceedings of the 5th International Workshop IT Project Management (ITPM 2024)
The project resource portfolio includes various types of resources, such as financial, human, technical, and others. It is important to determine exactly what resources are available for use by a team or an organization. Definition of the resource portfolio is the process of identifying, evaluating, and managing disparate resources that are available ...
Ruslan Nebesnyi +5 more
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The project resource portfolio includes various types of resources, such as financial, human, technical, and others. It is important to determine exactly what resources are available for use by a team or an organization. Definition of the resource portfolio is the process of identifying, evaluating, and managing disparate resources that are available ...
Ruslan Nebesnyi +5 more
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Do Portfolio Manager Contracts Contract Portfolio Management?
The Journal of Finance, 2019ABSTRACTMost mutual fund managers have performance‐based contracts. Our theory predicts that mutual fund managers with asymmetric contracts and mid‐year performance close to their announced benchmark increase their portfolio risk in the second part of the year. As predicted by our theory, performance deviation from the benchmark decreases risk‐shifting
JUNG HOON LEE +2 more
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“MARKET TIMING AND PORTFOLIO MANAGEMENT”
The Journal of Finance, 1978Previous literature relating to market timing includes a brief discussion by Jensen [10], of the implications of market timing for his measure of portfolio performance. In a second study, Jensen [12] has expanded on his earlier work and we will discuss parts of the second paper below. Campanella [4] has considered the influence of timing upon portfolio
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Product portfolio management in the context of enterprise portfolio management
2006 Technology Management for the Global Future - PICMET 2006 Conference, 2006The article consists of a Powerpoint presentation on product portfolio management in the context of enterprise portfolio management. The areas discussed include: business context and framework for portfolio management; major portfolio management processes; major portfolio management displays and decision aids; value-based portfolio management helps ...
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