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Validity of the optimal portfolio allocation model with price constraints on the example of the Warsaw Stock Exchange

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  • Ewa Majerowska

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    Paper provided by Department of Economics, University of Leicester in its series Discussion Papers in European Economics with number 99/5.

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    Handle: RePEc:lec:lecees:99/5

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    1. Shields, Kalvinder K, 1997. "Stock Return Volatility on Emerging Eastern European Markets," The Manchester School of Economic & Social Studies, University of Manchester, vol. 65(0), pages 118-38, Supplemen.
    2. Hwang, Soosung & Satchell, Stephen E, 1999. "Modelling Emerging Market Risk Premia Using Higher Moments," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 4(4), pages 271-96, October.
    3. Shields, Kalvinder K, 1997. " Threshold Modelling of Stock Return Volatility on Eastern European Markets," Economic Change and Restructuring, Springer, vol. 30(2-3), pages 107-25.
    4. Rosett, Richard N & Nelson, Forrest D, 1975. "Estimation of the Two-Limit Probit Regression Model," Econometrica, Econometric Society, vol. 43(1), pages 141-46, January.
    5. Fama, Eugene F. & MacBeth, James D., 1974. "Tests of the multiperiod two-parameter model," Journal of Financial Economics, Elsevier, vol. 1(1), pages 43-66, May.
    6. Campbell R. Harvey, 1994. "Predictable Risk and Returns in Emerging Markets," NBER Working Papers 4621, National Bureau of Economic Research, Inc.
    7. Emerson, Rebecca & Hall, Stephen G & Zalewska-Mitura, Anna, 1997. " Evolving Market Efficiency with an Application to Some Bulgarian Shares," Economic Change and Restructuring, Springer, vol. 30(2-3), pages 75-90.
    8. repec:fth:louvco:9815 is not listed on IDEAS
    9. Wojciech Charemza & Kalvinder Shields & Anna Zalewska, 2004. "Predictability of stock markets with disequilibrium trading," European Journal of Finance, Taylor and Francis Journals, vol. 10(5), pages 329-344.
    10. WEI, Steven X., 1998. "A censored-GARCH model of asset returns with price limits," CORE Discussion Papers 1998015, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    11. Buckberg, Elaine, 1995. "Emerging Stock Markets and International Asset Pricing," World Bank Economic Review, World Bank Group, vol. 9(1), pages 51-74, January.
    12. Harvey, Campbell R, 1995. "The Risk Exposure of Emerging Equity Markets," World Bank Economic Review, World Bank Group, vol. 9(1), pages 19-50, January.
    13. Nicola Anderson & Francis Breedon, 1996. "UK Asset Price Volatility Over the Last 50 Years," Bank of England working papers 51, Bank of England.
    14. Wojciech W. Charemza & Ewa Majerowska, . "Regulation of the Warsaw Stock Exchange: The Portfolio Allocation Problem," Discussion Papers in European Economics 98/1, Department of Economics, University of Leicester.
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