Behavioral portfolio insurance strategies

Financial Markets and Portfolio Management - Portfolio insurance strategies that ensure a certain minimum portfolio value or floor such as the Constant Proportion Portfolio Insurance (CPPI) and the...     

More Powerful Portfolio Approaches to Regressing Abnormal Returns on Firm-Specific Variables for Cross-Sectional Studies

OLS regression ignores both heteroscedasticity and cross-correlations of abnormal returns; therefore, tests of regression coefficients are weak and biased. A Portfolio OLS (POLS) regression accounts for correlations and ensures unbiasedness of tests, but does not improve their power. We propose Portfolio Weighted Least Squares (PWLS) and Portfolio Constant Correlation Model (PCCM) regressions to improve the power. Both utilize the heteroscedasticity of abnormal returns in estimating the coefficients; PWLS ignores the correlations, while PCCM uses intra-and inter-industry correlations. Simulation results show that both lead to more powerful tests of regression coefficients than POLS.     

Marcos López de Prado: Advances in financial machine learning

Financial Markets and Portfolio Management -     

Matthias Thiemann: The Growth of Shadow Banking: A Comparative Institutional Analysis

Financial Markets and Portfolio Management -     

Claudia Zeisberger,Michael Prahls and Bowen White: Mastering Private Equity: transformation via venture capital,minority investments and buyouts

Financial Markets and Portfolio Management -     

Alan Greenspan and Adrian Wooldridge: Capitalism in America: A history

Financial Markets and Portfolio Management -     

FMPM Best Paper Award 2021

Financial Markets and Portfolio Management -     

FMPM best paper award 2020

Financial Markets and Portfolio Management -     

Handbook on Corporate Governance in Financial Institutions

Financial Markets and Portfolio Management -     

Scott E. Page: The model thinker—what you need to know to make data work for you

Financial Markets and Portfolio Management -     

Emmanuel Saez and Gabriel Zucman: The Triumph of Injustice: How the Rich Dodge Taxes and How to Make Them Pay

Financial Markets and Portfolio Management -     

Report of the Editor 2020

Financial Markets and Portfolio Management -     

Six Best Paper Award 2022

Financial Markets and Portfolio Management -     

Gregory Scopino: Algo Bots and the Law

Financial Markets and Portfolio Management -     

Lasse Heje Pedersen: Efficiently inefficient: how smart money invests and market prices are determined

Financial Markets and Portfolio Management -     

Dominance of hybrid contratum strategies over momentum and contrarian strategies: half a century of evidence

Financial Markets and Portfolio Management - The possibility of combining the ranking period logic of contrarian (momentum) strategies with the holding period logic of momentum (contrarian)...     

Marcos M. López de Prado: Machine learning for asset managers

Financial Markets and Portfolio Management -     

Matthew F. Dixon,Igor Halperin,and Paul Bilokon: Machine learning in finance from theory to practice

Financial Markets and Portfolio Management -     

Book Review: Decentralized finance after Bitcoin & Ethereum

Financial Markets and Portfolio Management -     

Antony Lewis: The basics of bitcoins and blockchains

Financial Markets and Portfolio Management -