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Earnings Seasonality and Stock Returns
Earnings Seasonality and Stock Returns

... announcements over a five year period beginning one year before portfolio formation. We then calculate the average rank in the previous five years of the upcoming quarter. The highest possible seasonality in quarter three, for instance, would be a company where the previous five announcements in qua ...
Evidence of the Abnormal Accrual Anomaly Incremental to
Evidence of the Abnormal Accrual Anomaly Incremental to

Bright Directions 529 College Savings Program
Bright Directions 529 College Savings Program

SUP-MULTI-0115 ALLIANCEBERNSTEIN ALL MARKET GROWTH
SUP-MULTI-0115 ALLIANCEBERNSTEIN ALL MARKET GROWTH

Timing the Treasury Bond Market
Timing the Treasury Bond Market

... the model performs a technical analysis to time the market. As opposed to fundamental analysis, which involves analyzing the intrinsic value of a company, technical analysis is the study of statistics generated by market activity to identify trends and patterns in financial markets (Lo & Hasanhodzic ...
Smart Beta - A referential guide for institutional investors
Smart Beta - A referential guide for institutional investors

simulating portfolios by using models of social networks
simulating portfolios by using models of social networks

Competition, Reach for Yield, and Money Market Funds
Competition, Reach for Yield, and Money Market Funds

Essays on the Forecasting Power of Implied Volatility
Essays on the Forecasting Power of Implied Volatility

... Not surprisingly, very few studies deal with the forecasting properties of implied volatility for future realized returns. This is presumably because in an efficient market, returns are, by definition, unforecastable. This may not be completely true, however, if we start with the assumption that im ...
Long-Short Commodity Investing - EDHEC
Long-Short Commodity Investing - EDHEC

Low volatility anomaly and mutual fund allocations - Aalto
Low volatility anomaly and mutual fund allocations - Aalto

CreditMetrics™ — Technical Document
CreditMetrics™ — Technical Document

... We wish to estimate the volatility of value due to changes in credit quality, not just the expected loss. In our view, as important as default likelihood estimation is, it is only one link in the long chain of modeling and estimation that is necessary to fully assess credit risk (volatility) within ...
Scholar`s Edge Enrollment Kit
Scholar`s Edge Enrollment Kit

... Derivative instruments, investments whose values depend on the performance of an underlying security or asset, interest rate, index or currency, entail potentially higher volatility and risk of loss compared to traditional stock or bond investments. 9. Prior to 9/28/16, the Portfolio’s name was Oppe ...
Introduction to Credit Risk Modeling, An
Introduction to Credit Risk Modeling, An

... of a loss protection in terms of an insurance, as one knows it from car or health insurances. Moreover, history shows that even good customers have a potential to default on their financial obligations, such that an insurance for not only the critical but all loans in the bank’s credit portfolio mak ...
Momentum`s Got Style Style Investing and - Aalto
Momentum`s Got Style Style Investing and - Aalto

Essays on international capital flows and macroeconomic stability
Essays on international capital flows and macroeconomic stability

1 INVESTMENT: UNIT - 1 Investment involves making of a sacrifice
1 INVESTMENT: UNIT - 1 Investment involves making of a sacrifice

... classification of corporate securities that can be chosen as investment avenues can be depicted as shown below. Equity Shares-: By investing in shares, investors basically buy the ownership right to that company. When the company makes profits, shareholders receive their share of the profits in the ...
Explaining the Magnitude of Liquidity Premia
Explaining the Magnitude of Liquidity Premia

On Path–dependency of Constant Proportion Portfolio
On Path–dependency of Constant Proportion Portfolio

... (in case his expectations do not realize). We assume nothing else about our investor. Similarly to most of the literature, we consider a BS model for the underlying risky asset, i.e. we assume it follows a Geometrical Brownian Motion (GBM). Nonetheless, this represent no limitations as our results w ...
Analysis of stock performance based on
Analysis of stock performance based on

CTAs: Shedding light on the black box
CTAs: Shedding light on the black box

... another way, investing in CTAs will entail years, perhaps even consecutive years, when such programs will collectively be among the worst in any portfolio. There is a cyclicality to performance that allocators must therefore consider. This is borne out in the table below, which ranks the performance ...
Going mainstream – how absolute return is moving into the
Going mainstream – how absolute return is moving into the

... and relative return funds. Namely: Absolute return funds display a narrow range of returns in all market conditions; a higher likelihood of delivering positive outperformance when market returns are negative and a tendency to underperform when markets are rising strongly. Conversely, relative return ...
structured life insurance and investment products for retail investors
structured life insurance and investment products for retail investors

Dynamic Correlation or Tail Dependence Hedging for Portfolio
Dynamic Correlation or Tail Dependence Hedging for Portfolio

... From a modeling perspective, our paper is inspired by the large literature on modeling asset comovements. Popular choices for the time-varying correlation phenomenon are multivariate GARCH models (e.g. Bollerslev et al. (1988) or the principal component GARCH of Alexander (2002)), the parsimonious ...
Financial Literacy and Portfolio Diversification
Financial Literacy and Portfolio Diversification

... their work with, concentrating human capital risk and financial risk, and opt often for their firm’s stock when allocating retirement saving (Dorn and Huberman, 2005). Investors also tend to concentrate a large share of their wealth in their own business, bearing an amount of idiosyncratic risk that ...
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Harry Markowitz

Harry Max Markowitz (born August 24, 1927) is an American economist, and a recipient of the 1989 John von Neumann Theory Prize and the 1990 Nobel Memorial Prize in Economic Sciences.Markowitz is a professor of finance at the Rady School of Management at the University of California, San Diego (UCSD). He is best known for his pioneering work in modern portfolio theory, studying the effects of asset risk, return, correlation and diversification on probable investment portfolio returns.
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