Advances in Investment Analysis and Portfolio Management, by Cheng-Few Lee

By Cheng-Few Lee

Twelve papers concentrate on funding research, portfolio conception, and their implementation in portfolio administration

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By Cheng-Few Lee

Twelve papers concentrate on funding research, portfolio conception, and their implementation in portfolio administration

Show description

Read Online or Download Advances in Investment Analysis and Portfolio Management, Volume 9 (Advances in Investment Analysis and Portfolio Management) PDF

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Extra resources for Advances in Investment Analysis and Portfolio Management, Volume 9 (Advances in Investment Analysis and Portfolio Management)

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About 15% funds show significant timing ability with about 9% funds having a significantly positive timing coefficient and 6% of the funds having a significantly negative timing coefficient. The Asset Allocation funds have the highest percentage of about 13% of the funds having a significantly positive timing coefficient; and have the lowest Market Timing, Selectivity, and Mutual Fund Performance 45 percentage of about 3% of the funds with a significantly negative timing coefficient.

Applied Financial Economics, forthcoming. Myers, R. , & Thompson, S. R. (1989). Generalized Optimal Hedge Ratio Estimation. American Journal of Agricultural Economics, 71, 858–868. Optimal Hedge Ratios and Temporal Aggregation of Cointegrated Systems 39 APPENDIX A By definition, d(n) = [(1 + ␣)n Ϫ 1]/n␣. To compare d(n) with d(n + 1), consider the following: (1 + ␣)n + 1 Ϫ 1 (1 + ␣)n Ϫ 1 (1 + ␣)n(n␣ Ϫ 1) + 1 Ϫ = . n+1 n n(n + 1) (A1) d [(1 + ␣)n(n␣ Ϫ 1)] = n(n + 1)␣(1 + ␣)n Ϫ 1, d␣ (A2) Note that which is negative whenever Ϫ 1 < ␣ < 0.

The identical solution is found as anticipated. Alternatively, we can substitute u = k Ϫ rf into Eq. (5) with other parameter values and again we obtain an identical solution. This relation is also verified in both cases of short sales. It is to be pointed out that the risk-free rate rf is not explicitly considered in the Markowitz model. An optimal selection on a given efficient frontier requires the value of rf in the final analysis. The risk-free rate rf, among other things, represents an evolution of finance history from Markowitz to Sharpe.

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