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Soon after Harry Markowitz published his landmark 1952 article on portfolio selection, the correlation coefficient assumed vital significance as a measure of diversification and an input to portfolio construction. However, investors typically overlook the potential for correlation patterns to...
We propose a new method to assess the risk diversification potential of a given investment set, using only the information content of the covariance matrix of returns. Namely, we extend Rudin and Morgan’s (2006) work to numerically solve for the ‘Maximum Diversification Index’ by means of a...
This study examines the price impact differences between large trades routed to the central market and blocks traded on the upstairs market on the Tunisian Stock Exchange. The results show that large transactions affect stock prices whether they are routed upstairs or downstairs. In addition,...
This study is the first to combine returns-based (RBS) and characteristics-based (CBS) style analysis into a single style analysis model. We address the issue of whether RBS and CBS analysis are complementary. Out-of-sample tests confirmed two things: membership of style groups explains a...
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