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13 research outputs found
The impact of skew on performance and bias
Author
A.
Azzalini
+14Â more
Camerer
Chua
Dugan
Greyserman
Healy
Hogg
Howard
Kahneman
Novemsky
O’Hagan
Teck
Tovar
Tu
Tversky
Publication venue
'Elsevier BV'
Publication date
Field of study
No full text
Crossref
Trend Following: Equity and Bond Crisis Alpha
Author
? Novy-Marx
A ? Greyserman
+13Â more
A Goyal
Carl Hamill
D Lou
K Kaminski
L Baele
N Baltas
N Jegadeesh
Otto Van Hemert
R Connolly
R Martin
T Moskowitz
W Fung
Y ? Lemp�ri�re
Publication venue
'Elsevier BV'
Publication date
01/01/2016
Field of study
No full text
Crossref
Trend Following and Momentum Strategies for Global REITs
Author
A Ang
A Clare
+31Â more
A Clare
A Clare
A Frazzini
A Greyserman
A Ilmanen
A Moss
A Roy
A Szakmary
A Tversky
Alex Moss
Andrew Clare
B Delong
B Hurst
C Asness
C Erb
D Chaves
G Antonacci
H Shefrin
J Miffre
James Seaton
M Faber
M Faber
N Jegadeesh
N Jegadeesh
O Ap Gwilym
S Lee
S Lee
S Ostgaard
Steve Thomas
T Moskowitz
W Edwards
Publication venue
'Elsevier BV'
Publication date
01/01/2015
Field of study
No full text
Crossref
A Century of Evidence on Trend-Following Investing
Author
Asness C.
Barberis N.
+22Â more
Brian Hurst
Cutler D.M.
Daniel K.
De Long J.B.
Erb C.B.
Frazzini A.
Fung W.
Fung W.
Georgopoulou A.
Grant J.
Greyserman A.
Hong H.
Hurst B.
Jegadeesh N.
Lasse Heje Pedersen
Lefèvre E.
Levine A.
Menkhoff L.
Moskowitz T.
Shiller R.J.
Warren G.F.
Yao Hua Ooi
Publication venue
'Pageant Media US'
Publication date
Field of study
No full text
Crossref
The Blended Approach to Real Estate Allocations: Performance Implications of Combining an Exposure to German Spezialfonds with Global Listed Real Estate Securities
Author
A Ang
A Clare
+34Â more
A Clare
A Clare
A Frazzini
A Greyserman
A Ilmanen
A Moss
A Moss
A Roy
A Szakmary
A Tversky
Alex Moss
Andrew Clare
B Delong
B Hurst
C Asness
C Asness
C Erb
D Chaves
G Antonacci
H Shefrin
J Miffre
James Seaton
M Faber
M Faber
N Jegadeesh
N Jegadeesh
O Ap Gwilym
O Ap Gwilym
S Lee
S Lee
S Ostgaard
Steve Thomas
T Moskowitz
W Edwards
Publication venue
'Elsevier BV'
Publication date
01/01/2015
Field of study
No full text
Crossref
Portfolio optimisation using constrained hierarchical bayes models
Author
Avramov D.
Black F.
+21Â more
Brodie J.
Butler R. W
Carvalho C. M.
Chevrier T.
Clyde M.
Cui W.
DeMiguel V.
DeMiguel V.
Frost P.
Frost P.
Greyserman A.
Jagannathan R.
Kandel S.
Lamoureux C.
Ledoit O.
Ledoit O.
Markowitz H
Sharpe W
Strawderman W.
Tu J.
Yang R.
Publication venue
'Informa UK Limited'
Publication date
Field of study
No full text
Crossref
Adaptive Time Series Momentum: An Objective Benchmark for Systematic Trend-Following Strategies
Author
A Buraschi
A C Szakmary
+32Â more
A Frazzini
A Greyserman
B Ding
B Hurst
B Hurst
C R Harvey
C S Asness
E F Fama
G Elaut
Gert Elaut
H Demsetz
J Joenv��r�
L P�stor
M Dahlquist
M Dudler
M M Carhart
N Baltas
O Ledoit
P R Locke
P R Peres-Neto
R Koijen
R Kosowski
R M Lamm
R Roll
S S�ss
T J Moskowitz
T Smith
W Fung
W Fung
Y Han
Y Lemp�r� Ere
Z Sun
Publication venue
'Elsevier BV'
Publication date
01/01/2016
Field of study
No full text
Crossref
Testing Futures Trading Strategies: How Robust are Standard Assumptions?
Author
A C Szakmary
A Subrahmanyam
+30Â more
A.-N Baltas
B Hurst
B R Marshall
C Burnside
C Jones
C S Asness
D A Lesmond
G Bhardwaj
G Gorton
G Marcato
Greyserman
J Foran
John O'Brien
K Daniel
L Menkhoff
L Menkhoff
L P Lukac
L Peltz
M C Hutchinson
M C Hutchinson
M J Aitken
M J Barclay
Mark C. Hutchinson
P R Locke
R A Stevenson
R J Sweeney
R S Koijen
S H Irwin
S Smidt
T J Moskowitz
Publication venue
'Elsevier BV'
Publication date
01/01/2018
Field of study
No full text
Crossref
Portfolio Allocation of Hedge Funds
Author
A Adam
A Ang
+63Â more
A Buraschi
A Greyserman
Abdul K. Koudiraty
B G Malkiel
Benjamin Bruder
C Ackermann
C Alexander
C Brooks
D Giomouridis
D Morton
D Pelletier
E Jondeau
E Jondeau
E Jurczenko
Elton E J Gruber
G Amin
H Kat
H Markowitz
I Popova
J Berkowitz
J Cvitanic
J Liew
K Terhaar
L Favre
L Martellini
L Martellini
Ledoit Wolf
M Billio
M Eling
M Getmansky
Mcfall Lamm
N Amenc
N Chan
N Hagelin
O Ledoit
P Bares
P Krokhmal
R Clarke
R Cont
R Davies
R Engle
R Merton
R Michaud
R Rockafellar
S Brown
S Darolles
S Darolles
S Darolles
S Darolles
S Maillard
Serge Darolles
T Bollerslev
Thierry Roncalli
V Agarwal
V Agarwal
Von Neumann
W Fung
W Fung
W Fung
W Shadwick
W Sharpe
W Sharpe
Y Choueifaty
Publication venue
'Elsevier BV'
Publication date
01/01/2011
Field of study
No full text
Crossref
A Cross-Sectional Machine Learning Approach for Hedge Fund Return Prediction and Fund Selection
Author
A Greyserman
B Efron
+61Â more
B Liang
B Liang
B Liang
C Ackermann
C E Shannon
C Keating
C References Asness
C Wegener
D Avramov
D Avramov
D Avramov
E F Fama
F A Sortino
G E Hinton
G O Aragon
G Ridgeway
H Li
I Goodfellow
J Bai
J C Stein
J H Friedman
J Heaton
J Schmidhuber
J Sirignano
J W Jurek
Jiaqi Chen
L Breiman
L Wang
M Getmansky
M M Carhart
Michael L. Tindall
N Amenc
O Hamza
R A Berk
R C Scott
R E Welsch
R Harris
R Kosowski
R Tibshirani
R Tibshirani
S A Ross
S Gu
S Titman
T G Bali
T Hastie
T Hastie
T J Moskowitz
T M Mitchell
V Agarwal
V Agarwal
W F Sharpe
W Fung
W Goetzmann
W.-Y Loh
W.-Y Loh
Wenbo Wu
X Glorot
Y Bengio
Z Sun
Z Sun
Zhibin (Ben) Yang
Publication venue
'Elsevier BV'
Publication date
01/01/2018
Field of study
No full text
Crossref
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