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    <title>EconStor Collection: Journal of Finance and Investment Analysis</title>
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  <item rdf:about="http://hdl.handle.net/10419/58009">
    <title>DrawDown constraints and portfolio optimization</title>
    <link>http://hdl.handle.net/10419/58009</link>
    <description>Title: DrawDown constraints and portfolio optimization
&lt;br/&gt;
&lt;br/&gt;Authors: Davidsson, Marcus
&lt;br/&gt;
&lt;br/&gt;Abstract: The seminal work by Markowitz in 1959 introduced portfolio theory to the world. The prevailing notion since then has been that portfolio risk is non linear i.e. you cannot use Linear Programming (LP) to optimize your portfolio. We will in this paper show that simple portfolio drawdown constraints are indeed linear and can be used to find for example maximum risk adjusted return portfolios. VaR for these portfolios can then be estimated directly instead of using computer intensive Monte Carlo methods.</description>
  </item>
  <item rdf:about="http://hdl.handle.net/10419/58008">
    <title>Network centrality and stock market volatility: The impact of communication topologies on prices</title>
    <link>http://hdl.handle.net/10419/58008</link>
    <description>Title: Network centrality and stock market volatility: The impact of communication topologies on prices
&lt;br/&gt;
&lt;br/&gt;Authors: Hein, Oliver; Schwind, Michael; Spiwoks, Markus
&lt;br/&gt;
&lt;br/&gt;Abstract: We investigate the impact of agent communication networks on prices in an artificial stock market. Networks with different centralization measures are tested for their effect on the volatility of prices. Trading strategies diffuse through the different network topologies, mimetic contagion arises through the adaptive behavior of the heterogeneous agents. Short trends may trigger cascades of buy and sell orders due to increased diffusion speed within highly centralized communication networks. Simulation results suggest a correlation between the network centralization measures and the volatility of the resulting stock prices.</description>
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  <item rdf:about="http://hdl.handle.net/10419/58007">
    <title>A non-parametric approach of heteroskedasticity robust estimation of Vector-Autoregressive (VAR) models</title>
    <link>http://hdl.handle.net/10419/58007</link>
    <description>Title: A non-parametric approach of heteroskedasticity robust estimation of Vector-Autoregressive (VAR) models
&lt;br/&gt;
&lt;br/&gt;Authors: Grobys, Klaus
&lt;br/&gt;
&lt;br/&gt;Abstract: This contribution studies the application of heteroskedasticity robust estimation of Vector-Autoregressive (VAR) models. VAR models have become one of the most applied models for the analysis of multivariate time series. Econometric standard software usually provides parameter estimators that are not robust against unknown forms of heteroskedasticity. Different bootstrap methodologies are available which are able to generate heteroskedasticity robust parameter estimates. However, common literature is mostly focused on univariate time series models. This study applies a natural extension of the non-parametric pairs bootstrap methodology to different VAR models, taking into account empirical stock market data of the FTSE 100, DAX 30 and S&amp;P 500. A comparison shows that the t-values of the bootstrap models' parameters are considerably lower than the ordinary ones and that the determinants of the covariance matrices are clearly smaller.</description>
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  <item rdf:about="http://hdl.handle.net/10419/58006">
    <title>Do consumer attitudes matter in capital markets? A study of mutual funds in Oman market</title>
    <link>http://hdl.handle.net/10419/58006</link>
    <description>Title: Do consumer attitudes matter in capital markets? A study of mutual funds in Oman market
&lt;br/&gt;
&lt;br/&gt;Authors: Tahseen, Arshi A.; Narayana, Surya
&lt;br/&gt;
&lt;br/&gt;Abstract: The financial sector particularly the mutual funds in Oman market have shown limited potential to attract consumers. Consumer attitudes towards financial investments have always been a challenge for the finance companies due to limited risk appetite of consumers which are largely attributed to both cognitive and affective components of attitude. Through a process of methodological triangulation data was collected from experts in the finance sector from a sample of 200 consumers. Pearson product moment correlation and standard multiple regressions through SPSS version 20 were used to study the hypothesized relationships in this study. This study throws light on critical variables that shape consumer attitudes towards mutual funds and recommends the scope for introducing new mutual funds which has significant implications on capital markets in Oman.</description>
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