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ArticleCharacteristics-based Portfolio Choice with Leverage Constraints

Manuel J. Ammann2016

Article2016

Characteristics-based Portfolio Choice with Leverage Constraints

Manuel J. Ammann · Guillaume Coqueret · Jan-Philip Schade

28 citations·0/0 files stored·Alexandria (UniSG) (University of St.Gallen)

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Analysis and Corporate Governance

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References

1997On Persistence in Mutual Fund Performance 1992The Cross-Section of Expected Stock Returns 2012The Econometrics of Financial Markets 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?1997Evidence on the Characteristics of Cross Sectional Variation in Stock Returns 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps 1988Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence 2008Equity Portfolio Diversification

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Year2016

Typearticle

Published2016-01-01

VenueAlexandria (UniSG) (University of St.Gallen)

Languageen

Citations28

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ShelfRisk and Portfolio Optimization

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doi10.1016/j.jbankfin.2016.04.019

openalex_workW3126077355

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