Results 131 to 140 of about 133,508 (308)
Implications of Quasi-Geometric Discounting on the Observable Sharpe Ratio [PDF]
In this paper, we study implications of quasi-geometric discounting for stochastic properties of asset returns that can be observed in the financial market data.
Tack Yun, Wooheon Rhee
core
Revisiting Asset Pricing Models: The Case for an Intangibles Factor
Financial Management, EarlyView.ABSTRACT In an increasingly knowledge‐based economy, intangible assets may be an important driver of firm performance and stock returns. We introduce an intangibles intensity factor (INT), distinct from the organization capital factor, and show that exposure to this factor strongly predicts stock returns, outperforming traditional factors.
Dion Bongaerts +2 more
wiley +1 more source
Optimal time of annuitization in the decumulation phase of a defined contribution pension scheme [PDF]
In this paper, we consider the problem of finding the optimal time of annuitization for a retiree of a defined contribution pension scheme having the possibility of choosing her own investment and consumption strategy.
Bjarne Højgaard +2 more
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Testing for Contagion in International Financial Markets: To See More, Go Higher
Financial Review, EarlyView.ABSTRACT Traditional measures of financial contagion rely on correlation shifts, overlooking higher moments such as skewness and kurtosis. We examine contagion during two major financial crises, incorporating lower‐ and higher‐moment measures. We analyze stock market returns from 22 major markets at different frequencies, offering a global perspective ...
Simeon Coleman, Vitor Leone
wiley +1 more source
Lottery Demand and Stock Returns Preceding Earnings Announcements
Journal of Business Finance &Accounting, EarlyView.ABSTRACT We document a significant positive relation between extreme positive stock returns around past earnings announcements and stock returns in the 10‐day window before current earnings announcements. The average of risk‐adjusted return differences between stocks with the highest earnings announcement maximum returns and stocks with the lowest ...
Harvey Nguyen, Cameron Truong
wiley +1 more source
Quantum ReportsThe optimization of investment portfolios represents a pivotal task within the field of financial economics. Its objective is to identify asset combinations that meet specified criteria for return and risk.
Mirko Mattesi +6 more
doaj +1 more source
Asset Allocation under Hierarchical Clustering [PDF]
This paper proposes a clustering asset allocation scheme which provides better risk-adjusted portfolio performance than those obtained from traditional asset allocation approaches such as the equal weight strategy and the Markowitz minimum variance ...
Dietmar Maringer, Jin Zhang
core
Journal of the European Academy of Dermatology and Venereology, EarlyView.This pan‐European study reveals high rates of addiction in patients with chronic skin diseases. Smoking, alcohol, drug use, gambling, and internet addiction were prevalent and associated with quality of life, demographics, and region. The findings support integrating addiction screening into dermatologic care to improve outcomes.
Stefanie Ziehfreund +73 more
wiley +1 more source
Pythagorean theorem of Sharpe ratio
, 2017 In the present paper, using a replica analysis, we examine the portfolio optimization problem handled in previous work and discuss the minimization of investment risk under constraints of budget and expected return for the case that the distribution of the hyperparameters of the mean and variance of the return rate of each asset are not limited to a ...
openaire +2 more sources