On asymptotic log-optimal portfolio optimization
CH Hsieh - Automatica, 2023 - Elsevier
In this paper, we consider a frequency-dependent portfolio optimization problem with
multiple assets using a control-theoretic approach. The expected logarithmic growth (ELG) …
multiple assets using a control-theoretic approach. The expected logarithmic growth (ELG) …
Time to Retire: The 4% Withdrawal Rule
B Rob, DE Sherrill, RB Burney, RN Killins… - The Journal of …, 2023 - pm-research.com
The Journal of Investing (JOI) is a scholarly journal for the financial services industry,
appealing to both the academic and practitioner audiences. The JOI offers practical analysis …
appealing to both the academic and practitioner audiences. The JOI offers practical analysis …
Target Date Funds, Mis-sold and Misused
R Brown - The Journal of Wealth Management, 2023 - pm-research.com
Target Date Funds (TDFs) are portfolios with a pre-defined end date, the so-called “target
date,” and the essential attribute that they reduce their allocation to stocks with the passage …
date,” and the essential attribute that they reduce their allocation to stocks with the passage …
Tracking performance of leveraged energy exchange-traded funds
H Tang, XE Xu - Journal of Derivatives, 2016 - search.proquest.com
The population of exchange-traded funds (ETFs) has exploded in recent years, with ETFs in
a vast array of portfolios tied to specific asset classes, industries, active and passive trading …
a vast array of portfolios tied to specific asset classes, industries, active and passive trading …
Corrections Should Trigger Rebalancing
WW Jennings, BC Payne - The Journal of Wealth Management, 2020 - search.proquest.com
We start from the provocative contention that if an investor did not rebalance earlier this year
(2020), then that investor does not have an asset allocation policy. More specifically, that …
(2020), then that investor does not have an asset allocation policy. More specifically, that …
The Emperor's New Clothes—Balanced Portfolio Construction
R Brown - The Journal of Investing, 2024 - pm-research.com
The aggregate portfolios used by end-clients (eg, pension, endowment, or retired couple)
are most often broadly diversified across stocks, bonds, and alternatives. Such portfolios are …
are most often broadly diversified across stocks, bonds, and alternatives. Such portfolios are …
Inflation Hedging Tools—What Works and What Doesn't
R Brown, RM Ennis, H Bahaji, E Van Yen… - The Journal of …, 2023 - pm-research.com
The Journal of Investing (JOI) is a scholarly journal for the financial services industry,
appealing to both the academic and practitioner audiences. The JOI offers practical analysis …
appealing to both the academic and practitioner audiences. The JOI offers practical analysis …
Risk-Mitigated Deep Value--Bigger Bang, Less Buck.
R Brown - Journal of Beta Investment Strategies, 2023 - search.ebscohost.com
Value and growth are not simple binaries; instead, they reside on a continuum. Value comes
in degrees or intensities, with deep value at one end of this continuum. Over the past 97 …
in degrees or intensities, with deep value at one end of this continuum. Over the past 97 …
Backtesting von volatilitaetsgesteuerten Aktienportfolios (Backtesting of Volatility Targeting Strategies)
S Pleines, F Lehrbass - Schriftenreihe des Instituts für Empirie & …, 2021 - papers.ssrn.com
Die Arbeit untersucht, ob die Umsetzung von „Volatilitaetsziel “-Strategien in der
Vergangenheit erfolgreicher als herkömmliche „Kaufen-und-Halten “-Strategien gewesen …
Vergangenheit erfolgreicher als herkömmliche „Kaufen-und-Halten “-Strategien gewesen …
When Do PE Ratios Matter?
HA Mozes, H Rozen - The Journal of Investing, 2017 - pm-research.com
Target Date Funds (TDFs) are portfolios with a pre-defined end date, the so-called “target
date,” and the essential attribute that they reduce their allocation to stocks with the passage …
date,” and the essential attribute that they reduce their allocation to stocks with the passage …