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[abstract missing - contribution appeared in the programme]
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[abstract missing - contribution appeared in the programme]
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The key question that underlies this paper is whether real estate will continue to have a place in a mixed-asset portfolio, when institutional investors can select from a range of investments outside the core asset classes of bonds and equities. It is often stated that hedge funds, private...
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We propose a new approach to detecting and measuring herding which is based on the cross-sectional dispersion of the factor sensitivity of assets within a given market. This method enables us to evaluate if there is herding towards particular sectors or styles in the market including the market...
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Thus paper reports on an investigation into what is an appropriate level of investment management fees. Existing results are extended and several formulae are provided for the case of power utility and normal returns. Using the CRRA utility function with the range of the coefficient of the CRRA...
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By carefully choosing a data-generating process and appropriate distributional assumptions, we formulate a nested econometric model to examine how many equities are explained well by the downside beta or a general asymmetric response model rather than the conventional capital asset pricing model...
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