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Author: John E. Gilster Publisher: ISBN: Category : Autocorrelation (Statistics) Languages : en Pages : 50
Book Description
This paper demonstrates that modest amounts of security autocorrelation can cause the composition of an efficient frontier constructed on the basis of one holding period length assumption to differ substantially from the composition of an efficient frontier constructed on the basis of another holding period length assumption. This will be true even if the efficient frontiers are constructed using the same data base over the same total time span. This finding is derived mathematically and demonstrated empirically. The paper discusses the serious consequences of this finding.
Author: John E. Gilster Publisher: ISBN: Category : Autocorrelation (Statistics) Languages : en Pages : 50
Book Description
This paper demonstrates that modest amounts of security autocorrelation can cause the composition of an efficient frontier constructed on the basis of one holding period length assumption to differ substantially from the composition of an efficient frontier constructed on the basis of another holding period length assumption. This will be true even if the efficient frontiers are constructed using the same data base over the same total time span. This finding is derived mathematically and demonstrated empirically. The paper discusses the serious consequences of this finding.
Author: Ehud Kofman Publisher: ISBN: Category : Advertising Languages : en Pages : 370
Book Description
The purposes of this study were (1) to assess the magnitude of price effects whenever an electric utility firm faces DIRECT competition from another electric utility firm and (2) to observe these price-effects of competition compared with X-efficiency effects on costs.
Author: Charles M. Linke Publisher: ISBN: Category : Automobiles Languages : en Pages : 564
Book Description
The concept of bond duration was derived in 1938 and 'rediscovered' in the early 1970's by several academicians. Since its rediscovery a number of very important uses have been developed. This paper presents the concept and its computation and discusses the several uses in bond analysis, bond portfolio management and common stock analysis.
Author: John E. Gilster
Author: John E. Gilster
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Author: 
Author: Ehud Kofman
Author: John E. Gilster
Author: Charles M. Linke
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Author: Hersh Shefrin
Author: John Fletcher
Author: Jean Louis Heck