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  • Institute for Operations Research and the Management Sciences (INFORMS)  (2)
  • Economics  (2)
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  • Institute for Operations Research and the Management Sciences (INFORMS)  (2)
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  • Economics  (2)
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  • 1
    Online Resource
    Online Resource
    Institute for Operations Research and the Management Sciences (INFORMS) ; 2023
    In:  Management Science
    In: Management Science, Institute for Operations Research and the Management Sciences (INFORMS)
    Abstract: We use the dynamic conditional correlation (DCC) model to estimate daily frequency mutual fund betas. Compared with traditional estimates, daily betas better capture changes in fund risk stemming from daily fund trading activity. Based on these beta estimates and a two-stage estimation procedure, we find significant evidence of market timing ability among actively managed U.S. equity funds that is not apparent via standard approaches. Unlike traditional measures, our timing estimates correlate positively with fund performance. Market timing is especially evident during down markets, with successful timers exhibiting low downside risk. Timing ability persists across time and attracts investor flows. This paper was accepted by David Sraer, finance. Funding: This work was supported by the National Natural Science Foundation of China [Grants 72173127 and 72121001] and by the Institute for Industrial Innovation and Finance at Tsinghua University. Supplemental Material: The data files and online appendix are available at https://doi.org/10.1287/mnsc.2023.4857 .
    Type of Medium: Online Resource
    ISSN: 0025-1909 , 1526-5501
    RVK:
    Language: English
    Publisher: Institute for Operations Research and the Management Sciences (INFORMS)
    Publication Date: 2023
    detail.hit.zdb_id: 206345-1
    detail.hit.zdb_id: 2023019-9
    SSG: 3,2
    Location Call Number Limitation Availability
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  • 2
    Online Resource
    Online Resource
    Institute for Operations Research and the Management Sciences (INFORMS) ; 2018
    In:  INFORMS Journal on Computing Vol. 30, No. 1 ( 2018-01), p. 137-153
    In: INFORMS Journal on Computing, Institute for Operations Research and the Management Sciences (INFORMS), Vol. 30, No. 1 ( 2018-01), p. 137-153
    Abstract: The maximum clique problem (MaxClique for short) consists of searching for a maximum complete subgraph in a graph. A branch-and-bound (BnB) MaxClique algorithm computes an upper bound of the number of vertices of a maximum clique at every search tree node, to prune the subtree rooted at the node. Existing upper bounds are usually computed from scratch at every search tree node. In this paper, we define an incremental upper bound, called IncUB, which is derived efficiently from previous searches instead of from scratch. Then, we describe a new BnB MaxClique algorithm, called IncMC2, which uses graph coloring and MaxSAT reasoning to filter out the vertices that do not need to be branched on, and uses IncUB to prune the remaining branches. Our experimental results show that IncMC2 is significantly faster than algorithms such as BBMC and IncMaxCLQ. Finally, we carry out experiments to provide evidence that the performance of IncMC2 is due to IncUB. The online supplement is available at https://doi.org/10.1287/ijoc.2017.0770 .
    Type of Medium: Online Resource
    ISSN: 1091-9856 , 1526-5528
    RVK:
    Language: English
    Publisher: Institute for Operations Research and the Management Sciences (INFORMS)
    Publication Date: 2018
    detail.hit.zdb_id: 2070411-2
    detail.hit.zdb_id: 2004082-9
    SSG: 3,2
    Location Call Number Limitation Availability
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