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We highlight herding of investors as one major risk factor that is typically ignored in statistical approaches to portfolio modelling and risk management. Our survey focuses on smart-beta investing where such methods and investor herding seem particularly relevant but its negative effects have...
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presence of stochastic productivity taking into account differences in flexibility of both investments. Isolated FPI and FDI …&d-investment and consequently firm productivity increase faster than with isolated international investment. Depending on the success …-probability and the correlation between the various investment possibilities, even small firms (low productivity) invest in FDI …
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