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

  • 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
    Contact details of provider: Postal: Department of Economics University of Leicester, University Road. Leicester. LE1 7RH. UK
    Phone: +44 (0)116 252 2887
    Fax: +44 (0)116 252 2908
    Web page: http://www2.le.ac.uk/departments/economics
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    1. Wojciech Charemza & Kalvinder Shields & Anna Zalewska, 2004. "Predictability of stock markets with disequilibrium trading," The European Journal of Finance, Taylor & Francis Journals, vol. 10(5), pages 329-344.
    2. 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.
    3. Rebecca Emerson & Stephen G. Hall & Anna Zalewska-Mitura, . "Evolving Market Efficiency with an Application to Some Bulgarian Shares," Ace Project Memoranda 96/18, Department of Economics, University of Leicester.
    4. Buckberg, Elaine, 1995. "Emerging Stock Markets and International Asset Pricing," World Bank Economic Review, World Bank Group, vol. 9(1), pages 51-74, January.
    5. 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.
    6. Charemza, Wojciech W. & Majerowska, Ewa, 2000. "Regulation of the Warsaw Stock Exchange: The portfolio allocation problem," Journal of Banking & Finance, Elsevier, vol. 24(4), pages 555-576, April.
    7. Kalvinder Shields, 1997. "Threshold Modelling of Stock Return Volatility on Eastern European Markets," Economic Change and Restructuring, Springer, vol. 30(2), pages 107-125, May.
    8. Stephen Satchell & Soosung Hwang, 1999. "Modelling Emerging Market Risk Premia Using Higher Moments," Working Papers wp99-17, Warwick Business School, Finance Group.
    9. Nicola Anderson & Francis Breedon, 1996. "UK Asset Price Volatility Over the Last 50 Years," Bank of England working papers 51, Bank of England.
    10. 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.
    11. 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).
    12. 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.
    13. Campbell R. Harvey, 1994. "Predictable Risk and Returns in Emerging Markets," NBER Working Papers 4621, National Bureau of Economic Research, Inc.
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