Results 11 to 20 of about 170,528 (203)

The optimal use of return predictability : an empirical study [PDF]

, 2011
In this paper we study the economic value and statistical significance of asset return predictability, based on a wide range of commonly used predictive variables.
Abhay Abhyankar, Alexander Stremme, Cochrane, Devraj Basu   +3 more
core   +2 more sources

WARNING: Physics Envy May Be Hazardous To Your Wealth! [PDF]

, 2010
The quantitative aspirations of economists and financial analysts have for many years been based on the belief that it should be possible to build models of economic systems - and financial markets in particular - that are as predictive as those in ...
A Blinder, A Damasio, A Hull, A Khandani, A Khandani, A Lo, A Lo, A Lo, A Lo, A Lo, A Lo, A Lo, Andrew W. Lo, B Lehmann, C Lloyd, D Crane, D Duffie, D Farmer, D Farmer, D Li, E Lorenz, E Peters, E Rolls, E Sirri, F Knight, F Reif, F Salmon, G Debreu, G Debreu, G Gigerenzer, G Loewenstein, H Scarf, H Theil, H White, J Bouchaud, J Caouette, J Coffee, J Elster, J Hamilton, J Hamilton, J Hawkins, J Lintner, J Muth, J Nash, J Satow, J Stiglitz, J Stiglitz, J Tinbergen, J Tobin, J Von Neumann, Kenneth Arrow, L Klein, L Pickard, M Gitterman, Mark T. Mueller, N Taleb, P Cootner, P Diaconis, P Samuelson, P Samuelson, P Samuelson, R Lucas, R Mantegna, R Mantegna, R Merton, R Merton, R Solow, S Grossberg, S Labaton, S Weinberg, S Woodward, Steven H Strogatz, T Brennan, T De Jong, T Masters, T Philippon, W Sharpe   +76 more
core   +3 more sources

What is the best risk measure in practice? A comparison of standard measures [PDF]

, 2015
Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticised for issues relating to backtesting.
Emmer, Susanne, Kratz, Marie, Tasche, Dirk   +2 more
core   +1 more source

Regularizing Portfolio Optimization [PDF]

, 2009
The optimization of large portfolios displays an inherent instability to estimation error. This poses a fundamental problem, because solutions that are not stable under sample fluctuations may look optimal for a given sample, but are, in effect, very far
Acerbi C, Acerbi C Nordio C Sirtori C, Bengio Y, Bertsekas D P, Bordes A, Bottou L, Bouchaud J-Ph, Burda Z, Chopra V K, DeMiguel V, Elton E J, Embrechts P, Frahm G, Frahm G Memmel Ch, Gulyas N Kondor I, Imre Kondor, Jobson J D, Jorion P, Kempf A, Kondor I Varga-Haszonits I, Macrae R, Markowitz H, Morgan J P Reuters Riskmetrics, Perez-Cruz F, Potters M, Rockafellar R T, Schölkopf B, Schölkopf B, Susanne Still, Tibshirani R, Vanderbei R J, Vapnik V, Vapnik V, Vapnik V, Varga-Haszonits I   +34 more
core   +2 more sources

An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market [PDF]

, 2005
In recent years there has been a closer interrelationship between several scientific areas trying to obtain a more realistic and rich explanation of the natural and social phenomena.
Dionisio, Andreia, Mendes, Diana A., Menezes, Rui   +2 more
core   +4 more sources

Optimization of factorial portfolio of trade enterprises in the conditions of the non-payment crisis [PDF]

, 2019
The economic mechanism for factoring management of trade enterprises was improved by applying a tool for refinancing receivables involving third parties, which will contribute to the effective management of fundraising processes from the standpoint of ...
Abramova, Olha, Drobyazko, Svetlana, Nesterenko, Svetlana, Siketina, Natalya Hennadievna   +3 more
core   +1 more source

Dispersion measures as immunization risk measures [PDF]

, 2002
The quadratic and linear cash flow dispersion measures M2 and Ñ are two immunization risk measures designed to build immunized bond portfolios. This paper generalizes these two measures by showing that any dispersion measure is an immunization risk ...
Balbás, Alejandro, Ibáñez, Alfredo, López, Susana   +2 more
core   +5 more sources

Active vs. Passive Portfolio Management [PDF]

, 2014
In the finance community there is a huge debate about whether or not active portfolio managers can provide better returns than passive managers. While active managers often provide excess returns, the costs of running an active fund offset whatever gains
Greenhill, Timothy
core   +1 more source

Does managing a SRI fund cost more? Evidence from the European financial market [PDF]

, 2015
open2Our aim is to provide evidence regarding managing costs differences comparing Socially Responsible Investing (SRI) funds with traditional ones, if any, and if these are influenced by the ethical rating of the fund.
Alberto Lanzavecchia, Stefania Arrigoni
core   +2 more sources

Azaporphyrinoid‐Based Photo‐ and Electroactive Architectures for Advanced Functional Materials

Advanced Materials, EarlyView.
A long‐standing collaboration between the Torres and Guldi groups has yielded diverse azaporphyrinoid‐based donor‐acceptor nanohybrids with promising applications in solar energy conversion. This conspectus highlights key molecular platforms and structure‐function relationships that govern light and charge management, supporting the rational design of ...
Jorge Labella, Kobra Azizi, Dirk M. Guldi, Tomás Torres   +3 more
wiley   +1 more source