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Investment Opportunities, Short Sales Constraints and Arbitrage Opportunity.
Carassus, L.; Jouini, E. - 1995
Persistent link: https://www.econbiz.de/10005640992
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Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoins
OOSTERLINCK, Kim; Szafarz, Ariane; Briere, Marie - Centre Emile Bernheim, Solvay Brussels School of … - 2013
inclusion of even a small proportion of Bitcoins, say 3%, may dramatically improve the risk-return trade-off of welldiversified …
Persistent link: https://www.econbiz.de/10011158979
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An introduction to risk and return from common stocks
Brealey, Richard A. - 1993 - 2. ed., 5. print.
Persistent link: https://www.econbiz.de/10004197976
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Intra-Day Market Activity.
Gourieroux, C.; Jasiak, J.; Le Fol, G. - 1996
We analyse high-frequency data by means of the duration between successive ticks and volume of capital durations. It allows to introduce trading activity and coactivity measures, which may or may not also be volume weighted. Some applications on particular stocks of the PAris Bourse are provided.
Persistent link: https://www.econbiz.de/10005671569
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Securities Markets and Social Capital Integration in Africa : Risks and Policy Options
Nwaobi, Godwin Chukwudum - 2006
The need to develop securities market has, following the recent international financial crises increasingly attracted the attention of national and international policy makers. Never before have developed and developing countries shared such a strong intertest in ensuring the stable growth of...
Persistent link: https://www.econbiz.de/10012734924
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Investment and Arbitrage Opportunities with Short Sales Constraints
Jouini, Elyes - 2007
In this paper we consider a family of investment project defined by their deterministic cash flows. We assume stationarity - that is, projects available today are the same as those available in the past. In this framework, we prove that the absence of arbitrage opportunities is equivalent to the...
Persistent link: https://www.econbiz.de/10012776301
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Collaring the Cube : Protection Options for a QQQ ETF Portfolio
Szado, Edward - 2019
This article assesses the effectiveness of a long collar as a protective strategy. We examine the risk … use both Leland alpha and the Stutzer index to measure risk-adjusted performance. In the analysis we consider a number of … implementations of the collar exhibit lower risk than the buy and hold QQQ in all of the periods. The magnitude of the risk reduction …
Persistent link: https://www.econbiz.de/10012706059
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The Equity Capital Puzzle : A Consumption-Based Model
Kozhanov, Igor - 2009
economy do not provide increasing risk-reward compensation to investors who tie up larger fractions of their wealth in those …
Persistent link: https://www.econbiz.de/10012721233
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INSTABILITY IN THE CEE BANKING SYSTEM. EVIDENCE FROM THE RECENT FINANCIAL CRISIS
Karkowska, Renata - In: CES Working Papers 5(4) (2013) December, pp. 535-547
within both the academic and public community in measuring and modeling systemic risk. This article introduces a new … framework for measuring systemic risk by using a risk-adjusted balance sheet approach. In this regard, the analysis of 21 … largest commercial banks operating in 7 countries from Central and Eastern Europe, shows potential risk which could threaten …
Persistent link: https://www.econbiz.de/10010859872
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Separating the wheat from the chaff: Understanding portfolio returns in an emerging market
Eterovic, Nicolas A.; Eterovic, Dalibor S. - In: Emerging Markets Review 16 (2013) C, pp. 145-169
using Vector Autoregressive analysis we identify global risk aversion as the main driver of the Chilean equity market …
Persistent link: https://www.econbiz.de/10010682556