PhD Project

Less Is More: Ranking Information, Estimation Errors and Optimal Portfolios featured image
Ranking Information

Less Is More: Ranking Information, Estimation Errors and Optimal Portfolios

We offer a novel approach that aims at mitigating the crippling effects that parameter uncertainty and estimation errors have on the out-of-sample perforance of mean-variance …

lukas-salcher
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Factor Chasing and the Cross-Country Factor Momentum Anomaly featured image
Factor Momentum

Factor Chasing and the Cross-Country Factor Momentum Anomaly

We document a cross-country factor momentum anomaly, which we term 'Factor Chasing'. Specialized style mutual funds chase factor returns across countries, but their trades are …

pedro-barroso
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