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Complementarity and Substitutability of Investment Strategies

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2024Embargo end date: 17 Feb 2026 United Kingdom Publisher:Elsevier BVJournal:Journal of Evolutionary Economics, volume 36 (issn: 0936-9937, eissn: 1432-1386, Copyright policy )
Authors: Doskov, Nikolay; Hens, Thorsten; Schenk-Hoppé, Klaus Reiner;

doi: 10.2139/ssrn.4917436 , 10.21203/rs.3.rs-6494261/v1 , 10.1007/s00191-025-00922-9 , 10.5167/uzh-291836

Complementarity and Substitutability of Investment Strategies

Abstract

This study quanti es the impact of a reallocation of capital between investment strategieson the cross-section of their performance in the stock market. The main ndingis that the capacity of strategies, the correlation of returns and the cyclical natureof investment strategies' risk premia can be explained by the self- and cross-impactcaused by capital reallocation.

Country
United Kingdom
Related Organizations
Keywords

self-impact, Cross-impact, Self-Impact, Reallocation of capital, Investment strategies, reallocation of capital, cross-impact, 330 Economics

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    popularity
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    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
Green
hybrid