Exclude with Impunity: Personalized Indexing and Stock Restrictions
Y Chen, R Israelov - Financial Analysts Journal, 2024 - Taylor & Francis
Using simulated historical backtests, we study the impact of stock exclusions on the
performance of passive and active portfolios. We find that at low to moderate numbers, stock …
performance of passive and active portfolios. We find that at low to moderate numbers, stock …
[HTML][HTML] Exploring the diversification benefits of US international equity closed-end funds
J Fletcher - Financial Markets and Portfolio Management, 2022 - Springer
I use the simulation approach of Jobson and Korkie (J Portfolio Manag 7: 70–74, 1981),
combined with Michaud optimization (Michaud and Michaud, Efficient asset management: a …
combined with Michaud optimization (Michaud and Michaud, Efficient asset management: a …
International equity US mutual funds and diversification benefits
J Fletcher - International Review of Economics & Finance, 2021 - Elsevier
This study examines whether US international equity mutual funds provide out-of-sample
diversification benefits in the presence of no short selling constraints. Ignoring the economic …
diversification benefits in the presence of no short selling constraints. Ignoring the economic …
Finance Theory in Crisis
RO Michaud - Finance's Wrong Turns: A New Foundation for …, 2023 - Springer
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Account Menu Find a journal Publish with us Track your research Search Cart Book cover …
Account Menu Find a journal Publish with us Track your research Search Cart Book cover …
The Crisis at the Workbench
RO Michaud - Finance's Wrong Turns: A New Foundation for …, 2023 - Springer
The Crisis at the Workbench | SpringerLink Skip to main content Advertisement SpringerLink
Account Menu Find a journal Publish with us Track your research Search Cart Book cover …
Account Menu Find a journal Publish with us Track your research Search Cart Book cover …
Finance's Wrong Turn: A Critique of 20th Century Active Management
R Michaud - newfrontieradvisors.com
The invention of Markowitz (1952) mean-variance (MV) optimization altered the course of 20
th century finance from security valuation to portfolio risk management. The Markowitz …
th century finance from security valuation to portfolio risk management. The Markowitz …