Archives for LFIN

Béatrice Boulu-Reshef (University of Orleans) will give a presentation on : Algorithmic vs. Human Portfolio Choice Robo-advisors that provide investment advice online on the basis of risk profiling questionnaires have recently made a breakthrough in the investment management...

Cesare ROBOTTI (The University of Warwick) will give a presentation on : Noisy Prices and Return-Based Anomalies in Corporate Bonds We argue that the documented large abnormal returns to investors from corporate bond anomalies such as return reversals and momentum mainly stem...

Vasyl GOLOSNOY (Ruhr Universitat Bochum) will give a presentation on: A Simple Powerful Test for Global Minimum Variance Portfolio Weights Realized global minimum variance portfolio (GMVP) weights are computed from inverted realized covariance matrices. Conventional statistical tests...

Alex Shestopaloff, Queen Mary University of London & Memorial University of Newfoundland will give a presentation on Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models Abstract: In multivariate time series systems, key insights can be obtained by discovering...