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Volume-herding interaction in the American market
BenSaïda, Ahmed; Jlassi, Mouna; Litimi, Houda - In: American Journal of Finance and Accounting 4 (2015) 1, pp. 50-69
This paper examines the existence of herding in the US market. We study the turnover effect on herding movement by modifying the Cross-Sectional Standard Deviation (CSSD) model and the Cross-Sectional Absolute Deviation (CSAD) model. Results are inconclusive about the presence of herding in the...
Persistent link: https://www.econbiz.de/10011207764
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An artificial intelligence approach to portfolio selection and management
Abdelazim, Hazem Y.; Wahba, Khaled - In: International Journal of Financial Services Management 1 (2006) 2/3, pp. 243-254
. Modern portfolio theory and Markowitz efficient frontier start with a set of assets (securities) and generate an optimal …
Persistent link: https://www.econbiz.de/10010668720
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Bayesian portfolio selection under a multifactor asset return model with predictive model selection
Ando, Tomohiro - In: Global Business and Economics Review 14 (2012) 1/2, pp. 77-101
This paper addresses the problem of portfolio selection under a multifactor asset return model, using Bayesian analysis to deal with uncertainties in parameter estimation and model specification. These sources of error are ignored in the classical mean-variance method. We apply two approaches:...
Persistent link: https://www.econbiz.de/10010669060
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Dimensional analysis of real estate portfolio selection methods
Strang, Kenneth David - In: Global Business and Economics Review 16 (2014) 3, pp. 269-295
from a random sample of licensed real property project managers in the USA. A concurrent embedded mixed-method research …
Persistent link: https://www.econbiz.de/10010795450
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Selection of stock markets: a factor analysis approach
Hui, Tak Kee; Tsui, Kai Chong; Chua, David - In: International Journal of Applied Management Science 2 (2010) 2, pp. 136-151
This study uses factor analysis to simplify the complex relationships among stock markets and to reduce the number of markets required for portfolio construction. Our sample consists of the US and 11 Asia-Pacific stock markets. We find that the reduced portfolio obtained from factor analysis has...
Persistent link: https://www.econbiz.de/10008755259
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On the Endogeneity of the Mean-Variance Efficient Frontier
Somerville, R. A.; Paul G. J. O’Connell - In: Journal of Economic Education 33 (2002) 4, pp. 357-366
The endogeneity of the efficient frontier in the mean-variance model of portfolio selection is commonly obscured in the portfolio selection literature and in widely used textbooks. The authors demonstrate this endogeneity and discuss the impact of parameter changes on the mean-variance efficient...
Persistent link: https://www.econbiz.de/10005600630
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Optimal Portfolio Selection: A Note with a VBA Solution
Velez-Pareja, Ignacio; Ávila, Pedro Fabián Castilla; … - MASTER CONSULTORES - 2012
Usually in financial textbooks and courses the theory of portfolio selection is taught in a strictly theoretical way …, given her preference curves and an efficient frontier. On the other hand, the Capital Asset Pricing Model (CAPM) is … practitioners conclude that those models are just inapplicable theory. This is the most rational behavior one can expect. What can …
Persistent link: https://www.econbiz.de/10010762986
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A critique of emergency management policy: recommendations to reduce disaster vulnerability
McEntire, David A. - In: International Journal of Public Policy 3 (2008) 5/6, pp. 302-312
profession in the USA. This paper evaluates the founding principles upon which this profession was based in the 1980s. It then …
Persistent link: https://www.econbiz.de/10010670257
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EVOLUCION DE LAS ESTRATEGIAS DE INVERSION EN ACCIONES (BORRADOR)
Rubio, Fernando - EconWPA - 2005
, principalmente en el mercado de USA, por lejos el mas importante del mundo. Tambien, se muestra investigacion en España. Se … desarrollo del CAPM y APT; y, la actual, correspondiente a las anomalias del CAPM, la cual incluye el estudio del behavioural …
Persistent link: https://www.econbiz.de/10005134816
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An analysis of the credit rating agencies
D'Amato, Stephen - In: International Journal of Critical Accounting 6 (2014) 3, pp. 258-283
rating methodology and assess the ratings of these agencies in regards to Greece, France, and the USA. …
Persistent link: https://www.econbiz.de/10010888509