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Detecting macroeconomic phases in the Dow Jones Industrial Average time series
In this paper, we perform statistical segmentation and clustering analysis of the Dow Jones Industrial Average (DJI) time series between January 1997 and August 2008. Modeling the index movements and log-index movements ...
Loss-aversion and household portfolio choice
In this paper we empirically test if loss-aversion affects household participation in equity markets, household allocations to equity, and household allocations between mutual funds and individual stocks. Using household ...
Benchmarking money manager performance : issues and evidence
Academic and practitioner research yields a proliferation of methods using size and value/growth attributes or factors to evaluate portfolio performance. We assess the relative merits of several of the most widely-used ...