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This paper characterizes the asymptotic behaviour, as the number of assets gets arbitrarily large, of the portfolio weights for the class of tangency portfolios belonging to the Markowitz paradigm. It is assumed that the joint distribution of asset returns is characterized by a general factor...
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This paper studies the signalling effect of the consumption-wealth ratio (cay) on German stock returns via vector error … wealth growth and U.S. income growth significantly. …
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