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Quantitative Analysis of Modern Portfolio Theory for Diversification of Risk
Yadav, Himanshu - 2012
geographical diversification have been subjected to test. The validation of the said theory has been made via hypothesis testing in …The paper is an empirical research work wherein the principle of Modern Portfolio Theory along with aspects of …
Persistent link: https://www.econbiz.de/10013102156
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Diversification and the Distribution of Portfolio Variance, Part 1 : Sums of IID Variables and Higher-Order Moments
Fleming, Brian - 2020
, review related metrics in the literature for measuring diversification …
Persistent link: https://www.econbiz.de/10012853193
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Diversification and the Distribution of Portfolio Variance, Part 3 : Polynomial Optimisation for Asset Allocation
Fleming, Brian - 2021
Diversification is a fundamental topic for all investors but there remains little agreement on how to measure it. Often … maximising diversification with minimising risk instability, via kurtosis, which presents practical optimisation challenges. In …
Persistent link: https://www.econbiz.de/10013215636
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Diversification and the Distribution of Portfolio Variance, Part 2 : Volatility Stability as a Measure of Diversification
Fleming, Brian - 2020
We introduce a new framework for understanding portfolio diversification that provides a coherent basis for comparing … methodologies and offers a new approach to portfolio construction. The primary argument is that measures of diversification based … import. To resolve this we propose that the purpose of diversification is most helpfully viewed as reducing the variance of …
Persistent link: https://www.econbiz.de/10012828842
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The Curious Case of Portfolio Selection : Analysis of Correlations and Diversification over Time
Oskay, Bora - 2018
Persistent link: https://www.econbiz.de/10012913510
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Generalized Momentum and Flexible Asset Allocation (FAA) : An Heuristic Approach
Keller, Wouter J. - 2015
In this paper we extend the timeseries momentum (or trendfollowing) model towards a generalized momentum model, called Flexible Asset Allocation (FAA). This is done by adding new momentum factors to the traditional momentum factor R based on the relative returns among assets. These new factors...
Persistent link: https://www.econbiz.de/10013036125
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The 1/N rule revisited : heterogeneity in the naïve diversification bias
Fernandes, Daniel - In: International journal of research in marketing : IJRM ; … 30 (2013) 3, pp. 310-313
Persistent link: https://www.econbiz.de/10009779951
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Intertemporal Price Discrimination with Forward-Looking Consumers : Application to the Us Market for Console Video-Games
Nair, Harikesh - 2007
Firms in durable good product markets face incentives to intertemporally price discriminate, by setting high initial prices to sell to consumers with the highest willingness to pay, and cutting prices thereafter to appeal to those with lower willingness to pay. A critical determinant of the...
Persistent link: https://www.econbiz.de/10012731387
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Boundaries of Differentiated Product Markets and Retailer Pricing
Compiani, Giovanni; Smith, Adam N. - 2021
by economic theory. Our first set of empirical results is descriptive. We use data across nine diverse product groups to …
Persistent link: https://www.econbiz.de/10013213870
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School Rankings : Descriptive Statistics or Incentives to Manipulate?
Friedman, Hershey H.; Raphan, Martin - 2013
Recently, President Obama has proposed that the Department of Education start ranking colleges based on “value.” School rankings have, for some time, formed an important component of students’ decisions on which institutions to attend. However, as we illustrate in this paper, such rankings...
Persistent link: https://www.econbiz.de/10014150416