Browsing Institutes and Centres by Subject "G11"

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Adaptive universal portfolios

O'Sullivan, Patrick ; Edelman, David (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 ...
Housing risk and return : evidence from a housing asset-pricing model

Case, Karl E. ; Cotter, John ; Gabriel, Stuart A. (University College Dublin. Geary Institute, 2009-11)

This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) in studies of boom and ...
Housing risk and return : evidence from a housing asset-pricing model

Case, Karl E. ; Cotter, John ; Gabriel, Stuart A. (2009-11)

This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) in studies of boom ...
Integration and contagion in US housing markets

Cotter, John ; Gabriel, Stuart A. ; Roll, Richard (2011)

This paper explores integration and contagion among US metropolitan housing markets. The analysis applies Federal Housing Finance Agency (FHFA) house price repeat sales indexes from 384 metropolitan areas to estimate a ...