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Optimal Portfolio Allocation, Mean-Variance Optimization, Large Random Matrix, Bootstrap Method

Presidential election cycle, spectral analysis, EGARCH intervention model, stock prices and returns

Euro, Exchange rate, Monetary model, Cointegration

stochastic dominance, risk averter, risk seeker, futures market, spot market

Bayesian model, representative and conservative heuristics, underreaction, overreaction, stock price, stock return

Sharpe ratio, performance hypothesis testing, Normal distribution, uniformly most powerful unbiased test, CTA funds

downside risk, value-at-risk, conditional-VaR, stochastic dominance, utility

Writing covered call option, Buying protective put option, portfolios management, mean-variance approach, nonparametric stochastic dominance test

9-11 Attacks, Put Options, Call Options, SPX Index, Student’s T-Statistics, Non-Parametric Statistics

Stochastic dominance, risk averter, oil futures market, market efficiency

linear Granger, causality, nonlinear Granger causality, U-statistics

stochastic dominance, risk, REITs, stock, fixed-income assets,

MANOVA, Asymptotic distribution, delta-method, iShares

Sharpe ratio, mean-variance ratio, test statistics, hypothesis testing, uniformly most powerful unbiased test

Markowitz mean-variance optimization, Estimation of optimal portfolio weights, Inverted Wishart distribution, Consistency.

Prospect stochastic dominance, Markowitz stochastic dominance, risk seeking, risk averse, S-shaped utility function, reverse S-shaped utility function

Home bias, International diversification, Non-parametric stochastic dominance approach, Monte Carlo and Bootstrap p-values.stochastic dominance approach, Monte Carlo and Bootstrap p-values

Cost of Capital, Reliability, Dividend, Stock Price, Time Series Analysis

Coefficient of variation, Sharpe ratio, mean-variance ratio, test statistic, hypothesis testing, uniformly most powerful unbiased test

Diversification, stochastic dominance, risk seeking, risk averse, S-shaped utility function, reverse S-shaped utility function

Return Volatility, Trading Volume, Nonlinear Granger Causality, High Frequency Data

majorization, stochastic dominance, portfolio selection, expected utility, diversification

Macroeconomic variables, Cointegration tests, Stock prices, Singapore, United States

Self-Financing Portfolios, Optimal Portfolio Allocation, Mean-Variance Optimization, Large Random Matrix, Bootstrap Method

ASEAN Dollar, Convergence Criteria, Financial market integration

Prospect theory, mean-variance model, indifference curve, production output, price uncertainty, hedging, contango, backwardation

Prospect stochastic dominance, Markowitz stochastic dominance, risk seeking, risk averse, S-shaped utility function, reverse S-shaped utility function, test statistics, hypothesis testing

Volatility, Information Technology, Stock markets, Multivariate GARCH, IT Bubble

Bayesian model, Representative and conservative heuristics, Underreaction, Overreaction, Stock price, Stock return

Markowitz mean-variance optimization, estimation of optimal portfolio weights, inverted wishart distribution, consistency

linear Granger Causality, Nonlinear Granger Causality, U-Statistics, Simulation, Stock Markets

Stochastic Volatility, Bayesian Method, Markov Chain Quasi-Monte Carlo Method, Low Discrepancy Sequences, High-Dimensional Integrals, Deterministic Error Bound

Maximum Likelihood Estimators, Modified Maximum Likelihood Estimators, Student’s T Family, Capital Asset Pricing Model, Robustness

Stock markets, Cointegration, FIVECM and MGARCH

ANOVA, MANOVA, time dependence, profile analysis, treatment, American Depository Receipts

Sign test, trinomial test, non-parametric test, ties, test statistics, hypothesis testing

Multivariate stochastic dominance, risk averters, risk seekers, ascending stochastic dominance, descending stochastic dominance, utility function

Prospect theory, mental accounting, hedonic editing model, value function, segregation, integration, decision making, preference reversals

stochastic dominance, risk aversion, test statistics, hypothesis testing

location-scale family, utility functions, indifference curves, stochastic dominance,

Markov-Switching ARCH Model, Volatility, Market Segmentation, China Stock Markets

stochastic dominance; risk aversion, risk seeking

Prospect theory, mean-variance model, indifference curve, price uncertainty, hedging

Stochastic dominance, Market efficiency, Covered warrants, Bootstrap

Automation, Autobot, Genetic-Algorithm Neural-Network, Risk-Pricing, Risk Cybernetics, Expert Advisor

Home Bias, International Diversification, Mean-Variance Portfolio Optimization, Stochastic Dominance, Monte Carlo and Bootstrap P-Values

Singapore, equities, cycles, spectrum analysis

Optimal portfolios choices, Estimation Errors, Portfolio Resampling, Non parametric stochastic dominance approach, Monte Carlo and bootstrap p-values simulations

stochastic dominance, index futures, arbitrage opportunity, Malaysian

Bayesian Model, Representative and Conservative Heuristics, Underreaction, Overreaction, Stock Price, Stock Return, Financial Crisis

government bond returns, G7, linearity, stationarity, nonlinear

Stock Market Correlations, Gravity Model, Home Bias, Exchange Rate Volatility

technical analysis, moving average, buy-and-hold strategy, dot-com bubble, Asian Financial crisis, subprime crisis, moving linear regression, volatility, bubble

Day-of-the-week effect, Mean-variance criterion, Stochastic dominance, Chinese stock markets

SARS, Event Study, Cumulative Abnormal Return

Stochastic factor, optimal investment, background risk

stochastic dominance, stock index futures, risk preference, S-shape utility functions

Gruss-type Bounds, Covariance, Transformed Random Variables, decision making, uncertainty

stochastic dominance, correlated distributions, grid points

Stochastic Dominance, Futures, Malaysia, Market Efficiency

yield differential, standardized yield differential, E/P ratio, bond yield, interest rate

Grüss’s Inequality, Covariance Bound, Hoeffding Representation, Cuadras Representation, Quadrant Dependence, Quadrant Dependence in Expectation, Copula, Convex Combination, Archimedean Copula, Fréchet Copula, Farlie-Gumbel-Morgenstern Copula, Central Moments, Edmundson-Madansky Bound

Bayesian model, Representative and conservative heuristics, Underreaction, Overreaction, Stock price, Stock return, financial crisis

Markov Switching VAR, Regime-dependent Impulse Response, Hansen Test

Contagion, Economic crisis, Regional trade integration, Multilateral trade liberalization

competitive firm, risk aversion, regret aversion, decision making

International monetary systems, Exchange rate, Monetary economics

housing market, housing size, housing yield, rental yield, efficient market, stochastic dominance