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This chapter surveys theoretical research on the long-term performance of fixed-mix investment strategies. These self … main result is that wealth can be grown from volatility. Our findings demonstrate the benefits of active portfolio …
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the flow of Bitcoin transactions and its price movement. Using network theory, we examine a few complexity measures of the … market variables such as returns and volatility. We find that complexity of Bitcoin transaction network is significantly … correlated with Bitcoin market volatility. More specifically we document that the popularity of Bitcoin gauged from total system …
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We examine the interplay between event risk, transaction costs and predictability on the dynamic asset allocation of an investor with discrete trading opportunities. The model is calibrated to the U.S. stock market and a Gauss-Hermite quadrature approach is used to solve the investor's dynamic...
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