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Suppose a fund manager uses predictors in changing portfolio allocations over time. How does predictability translate into portfolio decisions? To answer this question we derive a new model within the Bayesian framework, where managers are assumed to modulate the systematic risk in part by...
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A time homogeneous, purely discontinuous, parsimonous Markov martingale model is proposed for the risk neutral dynamics of equity forward prices. Transition probabilities are in the variance gamma class with spot dependent parameters. Markov chain approximations give access to option prices. The...
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Mit der Etablierung von Wahlbörsen zur Prognose späterer Wahlergebnisse entstand eine Vielzahl von Anwendungsfeldern für virtuelle Informationsbörsen als neues Instrument der Marktforschung. Die besonders betonte prognostische Qualität des Verfahrens und die entgegengebrachte...
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