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Abstract The emergence of ‘alternative’ investment opportunities, the current bear market and the Wall Street analysts' conflict of interest debacle have put pressure on current investment performance measurement methodologies. This paper presents a survey of classic and modern performance...
Abstract This paper presents theoretical and empirical results on the magnitude of optimal hedge ratios for a dynamically balanced strategic asset allocation with multiple currencies. Optimality refers to a mean-variance objective function with a time-varying risk-aversion parameter. A...
Abstract It is often ignored that, in a financially globalised world, the emerging market economies face boom–bust cycles. Global capital inflows tend to inflate real exchange rates, which have several domestic and external problematic influences. At the beginning of the twenty-first century,...
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