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Market timing, moving average, technical analysis, conditional model
Market timing, security selection, moving average, technical analysis, conditional models
market timing, security selection, moving average, technical analysis, conditional models
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Technical Analysis, Moving Average, Market Timing, US Index REIT
Dynamic Asset Pricing, Multivariate GARCH
Optimal Portfolio Weights, Benchmarking
Mean-Variance Spanning Tests, Bayesian Inference, International Investment
Portfolio efficiency, global minimum variance portfolio, mean-variance spanning.
Mutual funds, Unconditional performance evaluation, Conditional performance evaluation
Fundamental indexes, portfolio diversification, mean-variance spanning
asset pricing errors, fat-tailed error distributions, size, value, momentum, capital asset pricing model, Fama-French three-factor model, Carhart four-factor model, Bayes credibility interval, Bayes factor, model comparison, Student-t link
Tangent Portfolio Weights, Factor Models of Expected Returns, Market Model, Fama and French Three-Factor Model, Carhart Four-Factor Model, Out-Of-Sample Realized Active Return
Risk Premia, Tracking Error, Active Return, Tangent Portfolio Weights, Minimum Variance Portfolio Weights, Factor Models of Expected Returns
C32, G12, dynamic asset pricing, multivariate GARCH
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