Comparing mean–variance portfolios and equal-weight portfolios for major US equity indexes
H Cai, AB Schmidt - Journal of Asset Management, 2020 - Springer
We compared performance of mean–variance portfolios (MVPs) based on Pearson's
correlations (PeMVPs) and partial correlations (PaMVPs) with equal-weight portfolios …
correlations (PeMVPs) and partial correlations (PaMVPs) with equal-weight portfolios …
What's so special about time series momentum?
H Cai, A Schmidt - Journal of Investment Strategies, 2020 - papers.ssrn.com
We find that the buy-and-hold (B&H) strategy for the S&P 500 index (^ GSPC) for January
1950–April 2019 had a significantly higher return than that produced by time series …
1950–April 2019 had a significantly higher return than that produced by time series …
Simulation of Execution Costs in the Global Institutional Spot FX Market
AB Schmidt - The Journal of Trading, 2009 - pm-research.com
We discuss execution costs in the global spot FX market where only limit orders are
permitted. In this work we expand our approach for simulations of maker loss (Schmidt …
permitted. In this work we expand our approach for simulations of maker loss (Schmidt …
Microstructure and execution strategies in the global spot FX market
AB Schmidt - Econophysics Approaches to Large-Scale Business …, 2010 - Springer
Modern global inter-bank spot foreign exchange is essentially a limit-order market.
Execution strategies in such a market may differ from those in markets that permit market …
Execution strategies in such a market may differ from those in markets that permit market …