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Sökning: WFRF:(Lean Hooi Hooi)

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1.
  • Lean, Hooi Hooi, et al. (författare)
  • On the role of commodity futures in portfolio diversification
  • 2023
  • Ingår i: International Transactions in Operational Research. - : WILEY. - 0969-6016 .- 1475-3995. ; 30:5, s. 2374-2394
  • Tidskriftsartikel (refereegranskat)abstract
    • The last two decades have witnessed major financial crises that led investors to seek alternative assets and investment strategies to reduce their portfolio risk. In this article, we provide information on the role of commodity futures in designing portfolios and managing risk based on an appealing operational framework. Using more than 20 years of sample data, we first investigate the conditional mean and volatility dynamics of equity and commodity futures markets within a dynamic conditional correlation model setup. We then form alternative equity-commodity futures portfolios by changing the weights of commodity futures and examine if the diversified commodity-equity portfolios perform superior to the all-equity portfolios and four well-known investment strategies that suit most practitioners. Stochastic dominance approach shows that including commodity futures in diversified portfolios does not always improve the risk-return performance, except for gold in some particular portfolio setups. Accordingly, commodity assets have behaved like financial assets (stocks) and tend to be driven by the same pricing factors in general, which reduces the benefits of diversification.
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2.
  • Vidal, Marta, et al. (författare)
  • The relation between fees and return predictability in the mutual fund industry
  • 2015
  • Ingår i: Economic Modelling. - : Elsevier. - 0264-9993 .- 1873-6122. ; 47, s. 260-270
  • Tidskriftsartikel (refereegranskat)abstract
    • We propose and test a methodological framework to examine the relation between mutual fund fees and return predictability. Gil-Bazo and Ruiz-Verdu (2009) drew attention to the puzzling fact that funds with worse before-fee performance charge higher fees. We make another contribution to the literature about the market for equity mutual funds: we find strong evidence of predictability for mutual fund fees. Funds with both positive and negative relations with fees show strong evidence of negative return predictability for their fees. Our findings are robust to alternative estimation methods and under the assumption of conditionally heteroskedastic stock returns. Our results also show that conditioning information (e.g. dividend yield, t-bill yield, default spread and term spread) are useful in selecting funds with superior performance and are valuable for asset allocation decisions.
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