. CAPM, Mean-Variance Portfolio Optimization, Constrained Optimization, Fama-French, Value-Size Portfolios, Dynamical …

Consensus estimates, formed by taking an average of analyst forecasts, play an important role in capital markets (e …

evaluate the efficiency of these four models using historical data from periods with different markets trends in Chinese stock …

utility of terminal wealth, we prove the existence of an information premium between what is required by the theory, a …

allocation over cycles uses equity prices of premier companies in India to validate the study. The results were obtained …

literature of microstructure of financial markets to estimate transaction costs and market liquidity from the observed return … series. As far as the estimation is concerned, method based on maximum likelihood is predominated in the applied works of … for the estimation of LOT model. Simulation studies are conducted to illustrate its accuracy and to make a comparison with …

on three European stocks Index Markets. Our results rejects the null hypothesis that the returns earned from applying …

We clarify that the widely used estimation method for the LOT liquidity model in the market microstructure literature … as a consistent estimator should do. We suggest one should use the Y-split estimation method proposed by Goyenko et al …