investigates such claims by looking at various measures of correlation. Next, we assess what are the implications of higher correlations between oil and equity prices for asset allocation. We develop a time-varying Bayesian Dynamic Conditional Correlation model for volatilities and correlations and find that joint modelling commodity and equity prices produces more accurate point and density forecasts, which lead to substantial benefits in portfolio allocation. This, however, comes at the price of higher portfolio
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Using Neural Networks to Forecast Stock Market Prices Abstract This paper is a survey on the application of neural networks in forecasting stock market prices. With their ability to discover patterns in nonlinear and chaotic systems, neural networks offer the ability to predict market directions more accurately than current techniques. Common market analysis techniques such as technical analysis, fundamental analysis, and regression are discussed and compared with neural network performance
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Purpose: The present study will strives on the relative importance of dividends, retained earnings, and other determinants in the explanation of stock prices in Bangladesh with particular stock price of the companies associated with Dhaka Stock Exchange (henceforth DSE), an emerging capital market of Bangladesh. The prime objective of this study
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Investigating Momentum on the Johannesburg Stock Exchange December 1 2010 Hendrik Snyman 14422425 A dissertation submitted in partial fulfilment of the requirements for the degree of Master of Science in Engineering (Management) Department of Industrial Engineering University of Stellenbosch An oil prospector had died and gone to heaven. At the gate, he is met by St Peter.‘Well, I checked you out and you meet all of the qualifications. But there’s one problem,’ He said. ‘We have some
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QUANTITATIVE INVESTMENT ANALYSIS WORKBOOK Second Edition Richard A. DeFusco, CFA Dennis W. McLeavey, CFA Jerald E. Pinto, CFA David E. Runkle, CFA John Wiley & Sons, Inc. QUANTITATIVE INVESTMENT ANALYSIS WORKBOOK CFA Institute is the premier association for investment professionals around the world, with over 85,000 members in 129 countries. Since 1963 the organization has developed and administered the renowned Chartered Financial Analyst Program. With a rich history of leading
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as the main reason for international business activity? A. Product life cycle theory of international trade B. theory of diversification C. doctrine of comparative advantage D. theory of globalization 7. According to the capital asset pricing model A. only the systematic component of risk affects the required return B. foreign investments whose returns are uncorrelated with the market's return should have a higher required return than comparable domestic investments C. total risk of the investment
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Basic Econometrics with Stata Carl Moody Economics Department College of William and Mary 2009 Table of Contents 1 AN OVERVIEW OF STATA ......................................................................................... 5 Transforming variables ................................................................................................... 7 Continuing the example .................................................................................................. 9 Reading Stata Output
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Hong Kong London Milan Paris Tokyo Preface This document contains solutions to half the exercises appearing in Stochastic Calculus for Finance I: The Binomial Asset Pricing Model, Springer, 2003. Steven E. Shreve December 2004 Pittsburgh, Pennsylvania USA Contents 1 The Binomial No-Arbitrage Pricing Model . . . . . . . . . . . . . . . . 1.7 Solutions to Selected Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1 7 7 2 Probability Theory on Coin Toss Space
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benchmark * 3 Investing * 4 Academic theory * 5 Multiple beta model * 6 Estimation of beta * 7 Extreme and interesting cases * 8 Criticism * 9 See also * 10 Notes * 11 External links | [edit] Definition The formula for the beta of an asset within a portfolio is where ra measures the rate of return of the asset, rp measures the rate of return of the portfolio, and cov(ra,rp) is the covariance between the rates of return. The portfolio of interest in the CAPM formulation is the
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foreign exchange market does not have a physical market place called the foreign exchange market. It is a mechanism through which one country's currency can be exchange i.e. bought or sold for the currency of another country. The foreign exchange market does not have any geographic location. The market comprises of all foreign exchange traders who are connected to each other through out the world. They deal with each other through telephones, telexes and electronic systems. The foreign exchange market
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