Carry-Based Expected Returns for Strategic Asset Allocation

被引：2
作者：
Schnetzer, Michael [1 ,2 ]
机构：
[1] Univ Zurich, Zurich, Switzerland
[2] Vita Joint Fdn Zurich, Zurich, Switzerland
来源：
JOURNAL OF PORTFOLIO MANAGEMENT | 2018年 / 45卷 / 02期
关键词：
EQUITY PREMIUM; STOCK; RISK;
D O I：
10.3905/jpm.2018.45.2.068
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
[No abstract available]
引用
收藏
页码：68 / 81
页数：14
相关论文
共 45 条
  • [11] Mixed-asset portfolio allocation under mean-reverting asset returns
    Amedee-Manesme, Charles-Olivier
    Barthelemy, Fabrice
    Bertrand, Philippe
    Prigent, Jean-Luc
    ANNALS OF OPERATIONS RESEARCH, 2019, 281 (1-2) : 65 - 98
  • [12] Dynamic Asset Allocation with Expected Shortfall via Quantum Annealing
    Xu, Hanjing
    Dasgupta, Samudra
    Pothen, Alex
    Banerjee, Arnab
    ENTROPY, 2023, 25 (03)
  • [13] STRATEGIC ASSET ALLOCATION IN THE TIMES OF FINANCIALIZED COMMODITY MARKETS
    Zaremba, Adam
    ECONOMIC AND SOCIAL DEVELOPMENT: 5TH INTERNATIONAL SCIENTIFIC CONFERENCE BOOK OF PROCEEDINGS, 2014, : 322 - 337
  • [14] Factor-Based Asset Allocation vs. Asset-Class Based Asset Allocation
    Idzorek, Thomas M.
    Kowara, Maciej
    FINANCIAL ANALYSTS JOURNAL, 2013, 69 (03) : 19 - 29
  • [15] Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models
    Schlag, Christian
    Semenischev, Michael
    Thimme, Julian
    MANAGEMENT SCIENCE, 2021, 67 (12) : 7932 - 7950
  • [16] Advancing Strategic Asset Allocation in a Multi-Factor World
    Asl, Farshid M.
    Etula, Erkko
    JOURNAL OF PORTFOLIO MANAGEMENT, 2012, 39 (01) : 59 - 66
  • [17] The Strategic Implications of Asset and Liability Allocation in the Turkish Banking Industry
    Ozyildirim, Cenktan
    Ozdincer, Begumhan
    EMERGING MARKETS FINANCE AND TRADE, 2011, 47 (01) : 101 - 112
  • [18] Strategic asset allocation and the demand for real estate: international evidence
    Umar, Zaghum
    Olson, Dennis
    EMPIRICAL ECONOMICS, 2022, 62 (05) : 2461 - 2513
  • [19] Hedging Demand in Long-Term Asset Allocation with an Application to Carry Trade Strategies*
    Laborda, Ricardo
    Olmo, Jose
    JOURNAL OF FINANCIAL ECONOMETRICS, 2022, 20 (03) : 472 - 504
  • [20] Strategic Asset Allocation for China's Foreign Reserves: A Copula Approach
    Zhang, Zhichao
    Zhang, Fan
    Zhang, Zhuang
    CHINA & WORLD ECONOMY, 2013, 21 (06) : 1 - 21
12345