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Portfolio models and time series analysis

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  • Heuts, R.M.J.

    (Tilburg University, School of Economics and Management)

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  • Heuts, R.M.J., 1978. "Portfolio models and time series analysis," Other publications TiSEM 48458631-edc8-42e9-8359-4, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:48458631-edc8-42e9-8359-4703a4a8a71c
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    References listed on IDEAS

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    2. Brennan, M. J., 1971. "Capital Market Equilibrium with Divergent Borrowing and Lending Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(5), pages 1197-1205, December.
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    4. Elton, Edwin J. & Gruber, Martin J. & Padberg, Manfred W., 1977. "Simple Rules for Optimal Portfolio Selection: The Multi Group Case," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(3), pages 329-345, September.
    5. Donald E. Farrar, 1962. "The Investment Decision Under Uncertainty: Portfolio Selection," Journal of Finance, American Finance Association, vol. 17(4), pages 671-672, December.
    6. Elton, Edwin J & Gruber, Martin J, 1971. "Improved Forecasting Through the Design of Homogeneous Groups," The Journal of Business, University of Chicago Press, vol. 44(4), pages 432-450, October.
    7. Eugene F. Fama, 1968. "Risk, Return And Equilibrium: Some Clarifying Comments," Journal of Finance, American Finance Association, vol. 23(1), pages 29-40, March.
    8. Simonson, Donald G., 1974. "Comment: The Predictive Content of Some Leading Economic Indicators for Future Stock Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(2), pages 259-261, March.
    9. Hanoch, Giora & Levy, Haim, 1970. "Efficient Portfolio Selection with Quadratic and Cubic Utility," The Journal of Business, University of Chicago Press, vol. 43(2), pages 181-189, April.
    10. Elton, Edwin J & Gruber, Martin J, 1970. "Marginal Stockholder Tax Rates and the Clientele Effect," The Review of Economics and Statistics, MIT Press, vol. 52(1), pages 68-74, February.
    11. Rogalski, Richard J & Vinso, Joseph D, 1977. "Stock Returns, Money Supply and the Direction of Causality," Journal of Finance, American Finance Association, vol. 32(4), pages 1017-1030, September.
    12. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    13. John Lintner, 1965. "Security Prices, Risk, And Maximal Gains From Diversification," Journal of Finance, American Finance Association, vol. 20(4), pages 587-615, December.
    14. Elton, Edwin J & Gruber, Martin J, 1973. "Estimating the Dependence Structure of Share Prices-Implications for Portfolio Selection," Journal of Finance, American Finance Association, vol. 28(5), pages 1203-1232, December.
    15. Samuelson, Paul A., 1967. "General Proof that Diversification Pays*," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 2(1), pages 1-13, March.
    16. Dent, Warren & Min, An-Sik, 1978. "A Monte Carlo study of autoregressive integrated moving average processes," Journal of Econometrics, Elsevier, vol. 7(1), pages 23-55, February.
    17. J. H. Van Frankenhuysen, 1968. "Toets voor normaliteit van Shapiro en Wilk," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 22(4), pages 241-248, December.
    18. Nelson, Charles R, 1972. "The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy," American Economic Review, American Economic Association, vol. 62(5), pages 902-917, December.
    19. Kalman J. Cohen & Jerry A. Pogue, 1967. "An Empirical Evaluation of Alternative Portfolio-Selection Models," The Journal of Business, University of Chicago Press, vol. 40, pages 166-166.
    20. Cooper, J Phillip & Nelson, Charles R, 1975. "The Ex Ante Prediction Performance of the St. Louis and FRB-MIT-PENN Econometric Models and Some Results on Composite Predictors," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 7(1), pages 1-32, February.
    21. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    22. Dryden, Myles M, 1970. "A Statistical Study of U.K. Share Prices," Scottish Journal of Political Economy, Scottish Economic Society, vol. 17(3), pages 369-389, November.
    23. Alexander, Gordon J., 1977. "An algorithmic approach to deriving the minimum-variance zero-beta portfolio," Journal of Financial Economics, Elsevier, vol. 4(2), pages 231-236, March.
    24. Malkiel, Burton G & Quandt, Richard E, 1972. "The Supply of Money and Common Stock Prices: Comment," Journal of Finance, American Finance Association, vol. 27(4), pages 921-926, September.
    25. Farrell, James L, Jr, 1974. "Analyzing Covariation of Returns to Determine Homogeneous Stock Groupings," The Journal of Business, University of Chicago Press, vol. 47(2), pages 186-207, April.
    26. Jensen, Michael C & Bennington, George A, 1970. "Random Walks and Technical Theories: Some Additional Evidence," Journal of Finance, American Finance Association, vol. 25(2), pages 469-482, May.
    27. Kemp, Alexander G & Reid, Gavin C, 1971. "The Random Walk Hypothesis and the Recent Behaviour of Equity Prices in Britain," Economica, London School of Economics and Political Science, vol. 38(149), pages 28-51, February.
    28. Officer, R R, 1973. "The Variability of the Market Factor of the New York Stock Exchange," The Journal of Business, University of Chicago Press, vol. 46(3), pages 434-453, July.
    29. Stone, Bernell K., 1973. "A Linear Programming Formulation of the General Portfolio Selection Problemâ€," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(4), pages 621-636, September.
    30. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
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    Cited by:

    1. Heuts, R.M.J. & Willemse, R., 1981. "Impulse response patterns for various dynamic time series models," Other publications TiSEM 0c18fd7d-5aff-4007-b02d-9, Tilburg University, School of Economics and Management.
    2. Heuts, R.M.J., 1982. "The use of non-linear transformations in ARIMA-models when the data are non-Gaussian distributed," Other publications TiSEM f4ccef9b-24f6-4179-883c-9, Tilburg University, School of Economics and Management.

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