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Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a...
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influence Greek stock market returns. The estimation procedure follows both the classic APT and the identification of the …
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stock returns using data from two prominent national stock exchanges of India. We find that when the tax on equity …. Since the volatility of returns on stocks is not constant through time, conditional heteroscedasticity models are used to … estimate the volatility of stock returns. The impact of tax on volatility of return on indices is insignificant. …
Persistent link: https://www.econbiz.de/10011107269
different arguments, but these arguments generally involve the assumption of a high likelihood of good returns on the accounts …. A simulation is undertaken to estimate the probability distribution of returns in the accounts based on long … future returns behave like historical data, it is found that a baseline personal account portfolio after offset will be …
Persistent link: https://www.econbiz.de/10008854012
Through recognizing the risking factors of industrial chain and selecting appropriate evaluation method, the index system on evaluating risking factors including market risk, natural risk, contact risk and efficiency risk in industrial chain is constructed, 26 weighting indicators under the four...
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questionnaire items from 2,360 individuals residing in 84 urban and rural communities in 5 countries (China, India, Brazil, Colombia …
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Purpose – The purpose of this paper is to empirically analyze the relationship between risky asset allocation and background risk of Chinese residents. Design/methodology/approach – Using Chinese macroeconomic data, this study uses numerical method to solve dynamic stochastic optimal...
Persistent link: https://www.econbiz.de/10010688407