Long-term investing and the frequency of investment decisions
RJM van Loon - Journal of Portfolio Management, 2021 - search.proquest.com
This article analyzes the impact of the frequency of investment decisions on long-term
investment results. Long-term investment returns are shown to be a nonlinear function of …
investment results. Long-term investment returns are shown to be a nonlinear function of …
Manager skill and portfolio size with respect to a benchmark
A Bolshakov, LB Chincarini - European Financial Management, 2020 - Wiley Online Library
Investment managers often manage a portfolio with respect to a benchmark. Typically, they
use a mean‐variance optimization framework to maximize the information ratio of their …
use a mean‐variance optimization framework to maximize the information ratio of their …
Timing and Sizing Skills of Systematic Strategies across Time and Economic Regimes
S Browne, A Farmakas, S Mesomeris… - The Journal of …, 2023 - pm-research.com
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Portfolio Management Research Logo Main navigation Topics All Topics Portfolio Management …
Portfolio Management Research Logo Main navigation Topics All Topics Portfolio Management …
Gains and Losses Revisited: Skill Detection and Similarity Assessment
S Browne - The Journal of Financial Data Science, 2022 - jfds.pm-research.com
The article develops an analytical framework that enables investors who use gain-and loss-
based performance measures to evaluate and compare investment strategies or managers …
based performance measures to evaluate and compare investment strategies or managers …
Investment Skill and Consistent Long-Term Alpha
RJM van Loon - The Journal of Portfolio Management, 2023 - pm-research.com
How should an active investor calibrate their investment decisions, when the goal is to reach
an outperformance target over the long term, without succumbing to large drawdowns in the …
an outperformance target over the long term, without succumbing to large drawdowns in the …
Omega, Information Ratio and Selectivity Theory.
A Bolshakov, C Lewis - … Ratio and Selectivity Theory.(July 6, 2022), 2022 - papers.ssrn.com
Abstract The Selectivity Theory (Bolshakov, Chincarini & Lewis, 2021) was recently
introduced as an alternative new optimization tool that a CIO can utilize in her strategy of …
introduced as an alternative new optimization tool that a CIO can utilize in her strategy of …