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Outperforming naive diversification using stock level information
Berrada, Tony; Coupy, Sebastien - 2015
methodology to the 1/N naive diversification strategy, standard shrinkage procedures, and alternative factor model estimation. We …
Persistent link: https://www.econbiz.de/10011412212
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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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Portfolio Weighting Methods : Naïve vs. Scientific Diversification
Mendes, António Marques - 2019
In our study we found that picking the right weighting method at times doubles portfolio returns. But, paradoxically, we found no significant differences between returns achieved through naïve and scientific weighting methods. Nevertheless, we dismissed the hypothesis that portfolio weightings...
Persistent link: https://www.econbiz.de/10012861078
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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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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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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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An Improved Moving Average Technical Trading Rule II : Can We Obtain Performance Improvements with Short Sales?
Papailias, Fotis - 2014
In this paper we extend the methodology of our earlier work (Papailias and Thomakos, 2011) on a modified moving average technical trading rule by allowing short sales. We show how short sales change the trading rule which now acts as a dynamic trailing "stop-and-reverse", instead of a dynamic...
Persistent link: https://www.econbiz.de/10013067141
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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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Profitability of Oscillators Used in Technical Analysis for Financial Market
Naved, Mohd - 2015
This research paper aim to examine the profitability of various kinds of oscillator used in technical analysis on market index of NSE (National Stock Exchange) S&P CNX NIFTY 50 during 2004-2014. We have selected the most commonly used three oscillators i.e., Stochastic oscillator, RSI Oscillator...
Persistent link: https://www.econbiz.de/10013010826
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Global Diversification with Local Stocks : A Road Less Traveled
Eun, Cheol S. - 2017
global integration at the firm-level and study its implications for diversification. Specifically, the adjusted R-square, our … minimally driven by the common global factors, investors can significantly benefit from diversification within developed markets …. Thus, the diversification gains solely inferred from the market indices much understate the potential benefits that world …
Persistent link: https://www.econbiz.de/10012952863