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1
On Portfolio Optimization : Forecasting Covariances and Choosing the Risk Model
Chan, Louis K. C.
-
2010
-of-sample
volatility
of optimized portfolios from each model. A few factors capture the general covariance structure but adding more … yield similar results. Using a tracking error
volatility
criterion, larger differences appear, with particularly favorable …
Persistent link: https://www.econbiz.de/10012763801
Saved in:
2
Comovement
Barberis, Nicholas
-
2002
A number of studies have identifed patterns of positive
correlation
of returns, or comovement, among different traded …
Persistent link: https://www.econbiz.de/10012787252
Saved in:
3
Globally Correlated Nominal Fluctuations
Henriksen, Espen
-
2009
Cyclical fluctuations in nominal variables--aggregate price levels and nominal interest rates--are documented to be substantially more synchronized across countries than cyclical fluctuations in real output. A transparent mechanism that can account for this striking feature of the nominal...
Persistent link: https://www.econbiz.de/10013158041
Saved in:
4
International Asset Allocation with Time-Varying Correlations
Bekaert, Geert
-
2008
a regime-switching model and find evidence for the existence of a high
volatility
regime, in which returns are more …
Persistent link: https://www.econbiz.de/10012774819
Saved in:
5
Correlated Beliefs, Returns, and Stock Market
Volatility
David, Joel
-
2015
information-based model demonstrates that the
correlation
of beliefs implied by analyst forecasts leads to return correlations … broadly in line with the data, both in levels and across countries - the
correlation
between predicted and actual is 0.63. Our … findings have implications for market-wide
volatility
- the model-implied correlations alone can explain 44% of the cross …
Persistent link: https://www.econbiz.de/10013017087
Saved in:
6
The Covariation of Risk Premiums and Expected Future Spot Exchange Rates
Hodrick, Robert J.
-
2010
Fama(1984) analyzed the variability and the covariation of risk premiums and expected rates of depreciation. We employ three statistical techniques that do not suffer from a potential bias in Fama's analysis, but we nevertheless confirm his findings. In contrast to his interpretation the results...
Persistent link: https://www.econbiz.de/10012762951
Saved in:
7
Risk Reduction in Large Portfolios : Why Imposing the Wrong Constraints Helps
Ma, Tongshu
-
2002
Mean-variance efficient portfolios constructed using sample moments often involve taking extreme long and short positions. Hence practitioners often impose portfolio weight constraints when constructing efficient portfolios. Green and Hollifield (1992) argue that the presence of a single...
Persistent link: https://www.econbiz.de/10012787232
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8
Testing the Correlated Random Coefficient Model
Heckman, James J.
-
2012
The recent literature on instrumental variables (IV) features models in which agents sort into treatment status on the basis of gains from treatment as well as on baseline-pretreatment levels. Components of the gains known to the agents and acted on by them may not be known by the observing...
Persistent link: https://www.econbiz.de/10013116685
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9
The Lucas Orchard
Martin, Ian
-
2011
This paper investigates the behavior of asset prices in an endowment economy in which a representative agent with power utility consumes the dividends of multiple assets. The assets are Lucas trees; a collection of Lucas trees is a Lucas orchard. The model generates return correlations that vary...
Persistent link: https://www.econbiz.de/10013118845
Saved in:
10
Estimating the Effects of Large Shareholders Using a Geographic Instrument
Becker, Bo
-
2011
Large shareholders may play an important role for firm performance and policies, but identifying this empirically presents a challenge due to the endogeneity of ownership structures. We develop and test an empirical framework which allows us to separate selection from treatment effects of large...
Persistent link: https://www.econbiz.de/10013120315
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