Suchergebnisse

Can Competition Increase Profits in Factor Investing?

In: forthcoming in Management Science

Optimal Portfolio Diversification via Independent Component Analysis

In: Operations Research, 2022, 70(1):55-72

What Alleviates Crowding in Factor Investing?

In: CEPR Discussion Paper No. DP16527

A Multifactor Perspective on Volatility-Managed Portfolios

In: Journal of Finance forthcoming

Comparing Factor Models with Price-Impact Costs

Cover-Up of Vehicle Defects: The Role of Regulator Investigation Announcements

In: Cho, DeMiguel, Hwang. 2020. Cover-Up of Vehicle Defects: The Role of Regulator Investigation Announcements. Management Science, Forthcoming.

Multiperiod Portfolio Optimization with Many Risky Assets and General Transaction Costs

Asset-Pricing Factors with Economic Targets

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

In: ​Journal of Financial and Quantitative Analysis, Band 2013, Heft 48(6)

Machine Learning and Fund Characteristics Help to Select Mutual Funds with Positive Alpha

In: Journal of Financial Economics (JFE), Forthcoming