An Empirical Evaluation of Alternative Portfolio-Selection Models

Abstract

?seq=1&cid=pdf-reference#references_tab_contents You may need to log in to JSTOR to access the linked references. JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact

Portfolio Tilting: Hunt for Positive Alpha Through Style Tilts

“…Three different approaches can be used to select an index. These are market plus industry indexes that is discussed by Cohen & pogue [1967]. Another approach use surprises in basic economic indexes Chen [1986].…”

Econophysics: A New Challenge for Financial Economics?

“…14 Of the databases created during the 1960s, one of the most important was set up by the Graduate School of Business at the University of Chicago, 15 one of the key institutions 13 By defi nition, a martingale model, 1 ( ) 0 t t t E P P + Φ − = , Φ t, is a fi lter-that is, to use the terminology of fi nancial economics, a set of information that increases over time. 14 See, for instance, Cohen and Pogue ( 1967 ). 15 In 1960, two University of Chicago professors, James Lorie and Lawrence Fisher, started an ambitious four-year program of research on security prices.…”

A Mean-Variance Explanation of FDI Flows to Developing Countries

“…To simplify the problem, we utilise the empirical observation of global and regional interdependence summarised in the previous section to formulate index models that will provide a structural solution of the model. 5 We show here the derivations for the multi-index model since the single-index model follows directly. To our knowledge this paper is the …rst to o¤er an explicit solution of a multi-index model.…”