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In this paper we evaluate applications of (return based) style analysis.The portfolio and positivity constraints imposed by style analysis are useful in constructing mimicking portfolios without short positions.Such mimicking portfolios can be used, e.g., to construct efficient portfolios of mutual
Deze studie onderzoekt het derivatengebruik en de risicomanagementpraktijken van Nederlandse bedrijven.Tevens wordt het derivatengebruik van Nederlandse bedrijven met dat van Amerikaanse bedrijven vergeleken.Aan alle Nederlandse beursgenoteerde niet-financiele bedrijven is een enquete gestuurd.In to
This paper tests whether hedging currency risk improves the performance of international stock portfolios. We use a generalized performance measure which allows for investor-dependencies such as different utility functions and the presence of nontraded risks. In addition we show that an auxiliary re
In this paper we empirically analyze the impact of transaction costs on the performance of affine interest rate models. We test the implied (no arbitrage) Euler restrictions, and we calculate the specification error bound of Hansen and Jagannathan to measure the extent to which a model is misspecifi
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