INSTITUTIONAL INVESTORS AND THE DEPENDENCE STRUCTURE OF ASSET RETURNS

Keywords

Portfolio, Covariance matrix, Asset allocation, Uncorrelated, Econometrics

References

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• The topology of overlapping portfolio networksWeilong Guo, Andreea Minca, Li Wang — 2016
• Institutional Ownership and Return Predictability Across Economically Unrelated StocksGeorge Gao, Pamela C. Moulton, David T. Ng — 2017
• Analysing voting behaviour in the United States banking sector through eigenvalue decompositionJuan Piñeiro Chousa, Marcos Vizcaíno‐González, Jérôme Caby — 2016
• Risk-based capital requirements and optimal liquidation in a stress scenarioYann Braouézec, Lakshithe Wagalath — 2018
• Pension Fund Evictions: Lessons for Housing and LaborMarnie Brady — 2017
• Dynamic long-range dependences in the Swiss stock marketPaulo Ferreira — 2018
• The topology of indirect correlation networks formed by common assetsBeixin Li, Xiaoxing Liu, Chao Wang — 2019
• Asset prices in segmented and integrated marketsPaolo Guasoni, Kwok Chuen Wong — 2020
• Finite population games of optimal executionDavid Evangelista, Yuri Thamsten — 2020
• ALOCAÇÕES EM DEBÊNTURES E A PERFORMANCE DOS FUNDOS NO BRASILThayse Machado Guimarães, Rodrigo Fernandes Malaquias — 2020
• Modelling Joint Behaviour of Asset Prices Using Stochastic CorrelationLászló Márkus, Ashish Kumar — 2020
• Portfolio Similarity and Asset Liquidation in the Insurance IndustryGiulio Girardi, Kathleen Hanley, Stanislava Nikolova — 2017
• Deconstructing Systemic Risk: A Reverse Stress Testing ApproachJavier Ojea Ferreiro — 2021
• Institutional Ownership and Return Predictability Across Economically Unrelated StocksGeorge F. Gao, Pamela C. Moulton, David T. Ng — 2012
• Feedback effects and endogenous risk in financial marketsLakshithe Wagalath — 2017
• A Liquidation Risk Adjustment for Value at Risk and Expected ShortfallLakshithe Wagalath, Jorge P. Zubelli — 2017
• Institutional Ownership and Return Predictability Across Economically Unrelated StocksGeorge Gao, Pamela C. Moulton, David T. Ng — 2012

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