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Human capital is the largest asset for many investors, yet its risks and impact on portfolio choice are often poorly understood. This paper explores human capital risk at the level of industry-specific occupations using a new metric that incorporates both wages and employment. We examine the...
Using the US stock market (NYSE) data, this paper investigates the asset valuation predictive power of investor sentiment. For this purpose, we conducted a revised Fama and French five-factor model by incorporating two additional variables. Moreover, we consider three indicators to classify...
The purpose behind this paper is twofold. Firstly, it aims at discussing the relationship between oil price and Islamic as well as conventional Dow Jones indexes. Secondly, it focuses on determining the optimal portfolio hedging strategy. In broader terms, it helps analyze the extreme dependence...
This study examines the profiles of 412 merged hedge funds (HFs), funds of HFs (FoHFs), and commodity trading advisors (CTAs) over the January 1994 through December 2013 period. We find that merged HFs, FoHFs, and CTAs are typically younger than live HFs but older than dead funds. We also find...
We give an explicit algorithm and source code for computing optimal weights for combining a large number N of alphas. This algorithm does not cost
operations but is much cheaper, in fact, the number of...
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