|
|
|
|
|
Davinder Malhotra and Srinivas Nippani
This study investigates the risk-adjusted performance of energy equity mutual funds across a 23-year period, employing the Cumulative Wealth Index (CWI) to gauge their long-term performance relative to benchmark indices. Despite inherent volatility due t...
ver más
|
|
|
|
|
|
|
|
|
|
|
Davinder K. Malhotra, Tim Mooney, Raymond Poteau and Philip Russel
In this study, we provide a comprehensive examination of the performance of financial (specialty sector financial) mutual funds over a 23-year period, a much longer time frame than what has been analyzed in previous literature. To fully understand the pe...
ver más
|
|
|
|
|
|
|
|
|
|
|
Dohyoung Kwon
This study developed an investment framework to implement dynamic factor rotation strategies according to changes in economic conditions. I constructed a useful macro indicator that tracked real-time business cycles of the US economy and applied a trend-...
ver más
|
|
|
|
|
|
|
|
|
|
|
Francesca Bell,Gary van Vuuren
AbstractOrientation: Environmental, social and governance (ESG) factors have evolved from peripheral significance (2000s) to a leading factor (2022) for many corporates. Most are now assigned ESG grades; which are increasingly scrutinised by investors.Re...
ver más
|
|
|
|
|
|
|
|
|
|
|
Joel Hinaunye Eita and Charles Raoul Tchuinkam Djemo
This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the underlying assets wit...
ver más
|
|
|
|
|
|
|
|
|
|
|
Crina Pungulescu
Pág. 29 - 40
This paper investigates whether small markets offer higher risk-adjusted expected returns using a large set of developed and emerging markets over a time span of up to four decades. The results show that expected returns are significantly lower in larger...
ver más
|
|
|
|
|
|
|
|
|
|
|
Johannes P. Steyn,Suzette Viviers
AbstractOrientation: Investors are increasingly weighing up the cost of investing in companies with adverse impacts on society and the natural environment.Research purpose: In light of the shift to responsible investing, this study compared the risk-adju...
ver más
|
|
|
|
|
|
|
|
|
|
This paper investigates a novel optimization problem motivated by sparse, sustainable and stable portfolio selection. The existing benchmark portfolio via the Dantzig type optimization is used to construct a sparse, sustainable and stable portfolio. Base...
ver más
|
|
|
|
|
|
|
|
|
|
|
Johannes P. Steyn,Lomari Theart
AbstractOrientation: It is rational for investors to expect additional compensation for an increased risk exposure. This positive risk?return relationship is in line with traditional financial theory; however, this relationship does not always hold in em...
ver más
|
|
|
|
|
|
|
|
|
|
|
Leszek Czapiewski and Joanna Lizinska
This study tests possible sources of long-term risk-adjusted returns on initial public offerings (IPO) in Poland under the calendar-time portfolio (CTP) approach. The moment of going public still remains a puzzle in many areas. Poland?s status as an emer...
ver más
|
|
|
|
|
|