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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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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 …
Persistent link: https://www.econbiz.de/10013102156
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On Crashes
Ferguson, Robert - 2018
The principles of behavioral psychology can explain how crashes occur. In particular, the concept of "stimulus generalization" tells us that organisms tend to respond in the same way to similar stimuli. In a crash, or pre-crash, context, several stimuli - including rising prices, above-average...
Persistent link: https://www.econbiz.de/10012928814
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Optimized Indexing combined with Risk Overlay : Analysis and Empirical Test of Margrabe's Exchange Option
Kula, Aykan - 2015
The first part of this thesis aims to analyse the weaknesses of capitalization-based indexing methods and compares different weighting strategies, which are dedicated to alleviate the conspicuous flaws. At the present day, these alternative portfolio construction schemes are popularly labelled...
Persistent link: https://www.econbiz.de/10013015917
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The Modified Dividend-Price Ratio
Polimenis, Vassilis - 2019
We show that log-dividends (d) and log-prices (p) are cointegrated, but, instead of de facto assuming the stationarity of the classical log dividend–price ratio, we allow the data to reveal the cointegration vector between d and p. We define the modified dividend–price ratio (mdp), as the...
Persistent link: https://www.econbiz.de/10012905483
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Next Generation of Indexing : Combining Optimized Indexing with Dynamic Beta Management
Kula, Gökhan - 2015
The first generation of indexing started with plain vanilla market-cap weighted indices. Based on the 1st generation of indexing, "smarter" approaches to equity beta were created, which are nowadays marketed as "Smart Beta" indices (2nd generation). Nevertheless these still exhibit severe...
Persistent link: https://www.econbiz.de/10013032110
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Stochastic dominance efficiency analysis of diversified portfolios : classification, comparison and refinements
Lizyayev, Andrey - 2010
For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...
Persistent link: https://www.econbiz.de/10011381581
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International diversification versus domestic diversification : mean-variance portfolio optimization and stochastic dominance approaches
Abid, Fathi; Leung, Pui-lam; Mroua, Mourad; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 7 (2014) 2, pp. 45-66
examine preferences for international diversification versus domestic diversification from American investors’ viewpoints. Our … PO results imply that the domestic diversification strategy dominates the international diversification strategy at a …
Persistent link: https://www.econbiz.de/10011553184
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International Equity Flows, Dominant Distributions and Diversification
Clark, Ephraim - 2010
The weak empirical evidence linking diversification and international equity flows calls into question the … diversification paradigm at the international level and the analytical framework it implies. Using a novel measure of diversification … the role that diversification opportunities play in the determination of international equity flows. Using the concept of …
Persistent link: https://www.econbiz.de/10013145123
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Owners' portfolio diversification and firm investment : theory and evidence from private and public firms
Lyandres, Evgeny; Marchica, Maria-Teresa; Michaely, Roni; … - 2018
Portfolio diversification of firms' controlling owners influences their firms' capital investment. Empirically, the … effect of owners' portfolio diversification on their firms' investment levels is positive for publicly-traded firms and tends …
Persistent link: https://www.econbiz.de/10012003079