Portfolio insurance and prospect theory investors: Popularity and optimal design of capital protected financial products

H Dichtl, W Drobetz - Journal of Banking & Finance, 2011 - Elsevier
Portfolio insurance strategies are used on both the institutional and the retail side of the
asset management industry. While standard utility theory struggles to provide an explanation, …

Optimal timing and tilting of equity factors

H Dichtl, W Drobetz, H Lohre, C Rother… - Financial Analysts …, 2019 - Taylor & Francis
Aiming to optimally harvest global equity factor premiums, we investigated the benefits of
parametric portfolio policies for timing factors conditioned on time-series predictors and tilting …

Sell in May and go away: still good advice for investors?

H Dichtl, W Drobetz - International Review of Financial Analysis, 2015 - Elsevier
This study examines whether the “Sell in May and Go Away” (or Halloween) trading strategy
still offers an opportunity to earn abnormal returns. In contrast to prior studies, we consider …

Testing rebalancing strategies for stock-bond portfolios across different asset allocations

H Dichtl, W Drobetz, M Wambach - Applied Economics, 2016 - Taylor & Francis
We compare the risk-adjusted performance of stock–bond portfolios between rebalancing
and buy-and-hold across different asset allocations by reporting statistical significance levels. …

Are stock markets really so inefficient? The case of the “Halloween Indicator”

H Dichtl, W Drobetz - Finance Research Letters, 2014 - Elsevier
… Author links open overlay panel Hubert Dichtl a , Wolfgang Drobetz b … the null hypothesis
that the benchmark is not inferior to any alternative forecasting model: H 0 : μ k = E [ d k , t ] ⩽ 0 …

Where is the value added of rebalancing? A systematic comparison of alternative rebalancing strategies

H Dichtl, W Drobetz, M Wambach - Financial Markets and Portfolio …, 2014 - Springer
This study compares the performance of different rebalancing strategies under realistic market
conditions by reporting statistical significance levels. Our analysis is based on historical …

Dollar-cost averaging and prospect theory investors: An explanation for a popular investment strategy

H Dichtl, W Drobetz - Journal of Behavioral Finance, 2011 - Taylor & Francis
Dollar-cost averaging requires investing equal amounts of an investment sum step-by-step
in regular time intervals. Previous studies that assume expected utility investors were unable …

How to build a factor portfolio: Does the allocation strategy matter?

H Dichtl, W Drobetz, VS Wendt - European Financial …, 2021 - Wiley Online Library
Factor‐based allocation embraces the idea of factors, as opposed to asset classes, as the
ultimate building blocks of investment portfolios. We examine whether there is a superior way …

A bootstrap-based comparison of portfolio insurance strategies

H Dichtl, W Drobetz, M Wambach - The European Journal of …, 2017 - Taylor & Francis
This study presents a systematic comparison of portfolio insurance strategies. We implement
a bootstrap-based hypothesis test to assess statistical significance of the differences in a …

Forecasting stock market crashes via machine learning

H Dichtl, W Drobetz, T Otto - Journal of Financial Stability, 2023 - Elsevier
This paper uses a comprehensive set of predictor variables from the five largest Eurozone
countries to compare the performance of simple univariate and machine learning-based …