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Clustering Algorithms for Risk-Adjusted Portfolio Construction

Expected Stock Returns

New Bid-Ask Spread Estimators from Daily High and Low Prices

Investing for the Long Run

Factors vs. Sectors in Asset Allocation: Stronger Together?

Lucas Paradox in the Short-Run

How to Predict Financial Stress? An Assessment of Markov Switching Models

Arbitrage and Its Physical Limits

Murphy Diagrams: Forecast Evaluation of Expected Shortfall abstract

Are REITs a Distinct Asset Class?

Benchmark Dataset for Mid-Price Prediction of Limit Order Book data abstract

Safe Assets

Optimal Rényi Entropy Portfolios

Do Financial Analysts Generate Value-Relevant Interpretive Information from 10-K Filings?

Sparse Precision Matrices for Minimum Variance Portfolios

News and Social Media Emotions in the Commodity Market

2017 Global Cryptocurrency Benchmarking Study

Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves abstract

Dynamic Properties of the Bitcoin and the US Market

An Empirical Analysis of the Dynamic Relation among Investment, Earnings and Dividends

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