classification which explicitly acknowledges the existence of market segmentation and practitioner benchmarking. Both methodologies …

benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate … across assets. Fluctuations in asset managers' capital invested for benchmarking purposes, scaled by the size of the economy … these benchmarking-induced spillovers by analyzing shock elasticities and cross-elasticities of price-dividend ratios, and …

’s approach with the use of sampling methods is developed in order to improve the allocation efficiency for a portfolio of … theory. Research implications/limitations - The research emphasized that in order to get a more diversified investment … occasions be statistically biased. Thus it was proved that sampling methods allow to obtain a less concentrated and volatile …

of portfolio by theory. But in practice, when they construct portfolio from large number of factors, sampling error in … tilted portfolio from a lot of factors in three classes, and will propose robust method to deal with sampling error …