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Working with CRSP/COMPUSTAT in R: Reproducible Empirical Asset Pricing
In: Simaan, Majeed. (2020). Working with CRSP/COMPUSTAT in R: Reproducible Empirical Asset Pricing.
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Working paper
The Opportunity Cost of Hedging under Incomplete Information: Evidence from ETF/Ns
In: Journal of Futures Markets, https://doi.org/10.1002/fut.22252
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Working paper
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Partial Index Tracking enhanced Mean-Variance Portfolio
In: Forthcoming in International Journal of Finance & Economics
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Measuring Bank Complexity Using Xai
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Do We Need Higher-Order Comoments to Enhance Mean-Variance Portfolios? Evidence from a Simplified Jump Process
In: International Review of Financial Analysis, Forthcoming
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Working paper
On the Risk of Out-of-Sample Portfolio Performance
In: Management Science, forthcoming
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Estimation Risk and Implicit Value of Index-Tracking
In: Quantitative Finance https://doi.org/10.1080/14697688.2021.1959631
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Working paper
A Machine Learning Efficient Frontier
In: Operations Research Letters, DOI: https://doi.org/10.1016/j.orl.2020.07.016
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Working paper
Use and Misuse of Interpretability in Machine Learning
In: Forthcoming in Journal of Financial Transformation
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Pricing Banks: Risk and Return in an Opaque Industry
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Working paper
The Value of Data: Analyst Vs. Machine
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