While indices, index tracking funds and ETFs have grown in popularity during then last ten
years, there are many structural problems, tracking errors and biases inherent in index …

This paper investigates to what extent paintings by US artists born before WWII can be
treated like capital assets, and whether the findings are specific to artist, subject matter, and …

Although the CML (capital market line), the intertemporal capital asset pricing model
(CAPM), the CAPM/SML (security market line) and the Intertemporal Arbitrage Pricing …

Zusammenfassung Asset-Liability Management gewinnt in der deutschen
Versicherungswirtschaft zunehmend an Bedeutung. Dies ist zum einen den Entwicklungen …

Enterprise risk management or ERM is fast ascending the corporate agenda globally. Its
relevancy and popularity as a management technique are abetted by the changing business …

Öz Yatırım fırsatlarının değerlendirilmesi süreci beklenen getiri ve riskin ölçümüne bağlıdır.
Finansal Varlıkları Fiyatlama Modeli (FVFM), çok uzun yıllardır modern finans teorisinin …

This study focuses on sources of momentum strategies for the Dhaka Stock Exchange of
Bangladesh. For these purposes, this study applies models based on serial correlation and …

Based on the insight that risk exposure as quantified in the consumption based asset pricing
model (CCAPM) is linearly proportional to the cash flow growth rate, we introduce a …

Many aspects of modern statistical analysis and optimization are based almost entirely on
the Mean-Variance (MV) framework and its elements–variance, semi-variance, correlation …

While stock/bond indices, index tracking funds and ETFs have grown in popularity during
then last ten years, there are many structural problems inherent in index calculation …