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(CIBEF, 2011)The purpose of this paper is to develop a stock selection algorithm with similar properties as Cover’s Universal Portfolio, but providing superior early growth. Cover’s Universal Portfolio generates a growth rate asymptotically ...
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(University College Dublin. School of Economics, 2003-03)Industrial sectors producing income-elastic products can grow rapidly but are highly vulnerable to fluctuations in the world economy. Policymakers need to take into account this trade-off between output and employment ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2007)This paper investigates the correlation dynamics in the equity markets of 13 Asia-Pacific countries, Europe and the US using the asymmetric dynamic conditional correlation GARCH model (AG-DCC-GARCH) introduced by Cappiello, ...
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(McGraw-Hill, 2009)
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(IEEE Press, 2010-07)A significant problem in the area of stock selection is that of identifying the factors that affect a security’s return. While modern portfolio theory suggests a linear multi-factor model in the form of Arbitrage Pricing ...
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(Elsevier Science B.V., 1995-06)This paper uses data from the Survey of Consumer Finances to assess how well mean-variance efficiency describes the portfolio diversification of US households. It does not seem to work well. The median stockholder owns a ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2004)We examine the performance and diversification potential of 332 funds of hedge funds (FOHFs) for the period from January 1990 to May 2003. Consistent with prior studies, we find that FOHFs appear to underperform the hedge ...
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(University College Dublin. School Of Economics, 2004-11-05)In sectors with cumulative and complementry technologies, some rms build patent portfolios in order to block their competitors' access to the technology and/or to negociate cross licensing agreements. We propose a dynamic ...
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(IEEE, 2005-11-18)Many modern electricity systems are faced with the challenge of reducing green house gas emissions and dealing with increasing and more volatile fuel prices. Adequately dealing with these issues requires the evolution ...
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(University of Leicester, Department of Economics Working, 2001-11)We explore the significance of intra-couple and intra -household influences on three broad types of employment contracts: self-employment, performance related pay, and salaried employment. Individuals may pool income risk ...