Doctoral thesis of Philosophy: Studies into state-dependent asset pricing models and dynamic asset allocation in international equity markets
14
lượt xem 2
download
lượt xem 2
download
Download
Vui lòng tải xuống để xem tài liệu đầy đủ
The objective of this thesis is to develop an appropriately fitted asset pricing model that explicitly captures this salient feature of equity market returns, and that exploits the potential diversification benefits of emerging markets. we use a state-dependent Markov model, which distinguishes between high and low volatility states, to capture time-varying returns in emerging market equity indices. The model is then extended into global asset allocation.
Chủ đề:
Bình luận(0) Đăng nhập để gửi bình luận!
CÓ THỂ BẠN MUỐN DOWNLOAD