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Irreversibility Factor and Limiting Performance of Financial Systems (Thermodynamic Approach)

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  • Anatoliy M. Tsirlin
  • Valdimir Kazakov

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  • Anatoliy M. Tsirlin & Valdimir Kazakov, 2003. "Irreversibility Factor and Limiting Performance of Financial Systems (Thermodynamic Approach)," Research Paper Series 99, Quantitative Finance Research Centre, University of Technology, Sydney.
  • Handle: RePEc:uts:rpaper:99
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    File URL: http://www.qfrc.uts.edu.au/research/research_papers/rp99.pdff
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    1. Louis K.C. Chan & Jason Karceski & Josef Lakonishok, 1999. "On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model," NBER Working Papers 7039, National Bureau of Economic Research, Inc.
    2. Rudd, Andrew & Rosenberg, Barr, 1980. " The "Market Model" in Investment Management," Journal of Finance, American Finance Association, vol. 35(2), pages 597-607, May.
    3. Allan Timmermann & David Blake, 2005. "International Asset Allocation with Time-Varying Investment Opportunities," The Journal of Business, University of Chicago Press, vol. 78(1), pages 71-98, January.
    4. Rudolf, Markus & Wolter, Hans-Jurgen & Zimmermann, Heinz, 1999. "A linear model for tracking error minimization," Journal of Banking & Finance, Elsevier, vol. 23(1), pages 85-103, January.
    5. Campbell, Rachel & Huisman, Ronald & Koedijk, Kees, 2001. "Optimal portfolio selection in a Value-at-Risk framework," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1789-1804, September.
    6. Treynor, Jack L & Black, Fischer, 1973. "How to Use Security Analysis to Improve Portfolio Selection," The Journal of Business, University of Chicago Press, vol. 46(1), pages 66-86, January.
    7. Chan, Louis K C & Karceski, Jason & Lakonishok, Josef, 1999. "On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model," Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 937-974.
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