Listar por autoría "fab566ce-fe68-4ab7-b560-00c6f19f366d"
Mostrando ítems 1-2 de 2
-
Asset allocation with correlation: A composite trade-off
Carroll, Rachael; Conlon, Thomas; Cotter, John Elsevier (2017-11-01)We assess the ability of minimum-variance portfolio allocation strategies accounting for time-varying correlation between assets to provide performance benefits relative to an equally-weighted portfolio. Prior to transaction ... -
The non-linear trade-off between return and risk and its determinants
Cotter, John; Salvador, Enrique Elsevier (2022-04-08)We estimate a discrete approximation of the risk-return trade-off for the US market by using the whole universe of stocks from July 1963 to September 2017. We find the relationship between return and total risk to be ...