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Stock Exchange (NYSE). The correlation structure for prices is different
AVG 2.6229 3.3600 2.8297 AVG 2.0026 4.5007 3.1253
GARCH models. The model most consistent with the capital growth formu-
section. That material is presented for the case where the distribution of
In this notation IαLis an indicator variable for the lower 100αL% of the
section an example of a discrete scenario, discrete time problem is considered
John Maynard Keynes. He ran the Kings College Chest Fund from 1927
(2003) found that The Kings College Chest Fund Performance is well approx-
BH was unable to beat the Ford Foundatioin or the Harvard University En-
W. eds. North Holland Handbooks in Operations Research and Man-
Variance Criteria in Portfolio choice Problems. Journal of Economic
Stochastic Optimization Models in Finance (eds. W.T. Ziemba and R.G
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Published by Peter Farkas

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Published by: Peter Farkas on Jan 19, 2012
Copyright:Attribution Non-commercial

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