We show that economic restrictions of cointegration between asset cash flows and aggregate consumption have important implications for return dynamics and optimal portfolio rules, particularly for long investment horizons. When cash flows and consumption share a common stochastic trend (i.e., are cointegrated), temporary deviations between their levels forecast long-horizon dividend growth rate...

This chapter provides an empirical analysis of interactions between FDI flows and domestic investment in capacity. As a motivation for the empirical analysis, I provide highlights of a new theory of FDI. The theory captures unique feature: hands-on management standards, that enable investors to react in real time to ongoing changes in the economic environment, which surrounds investors. Equippe...

Previous research has shown that real estate serves as a diversifier in mixed-asset portfolios. However, this empirical finding is beset with some drawbacks associated direct investment. In order to overcome of these drawbacks, we use theoretical exchange traded notes (ETNs) mean-shortfall setting optimize an international portfolio. addition, the typical long-only strategy abandoned favor 130/...

In this paper, we propose formulations and algorithms for robust portfolio optimization under both aleatory uncertainty (i.e., natural variability) and epistemic uncertainty (i.e., imprecise probabilistic information) arising from interval data. Epistemic uncertainty is represented using two approaches: (1) moment bounding approach and (2) likelihood-based approach. This paper first proposes a ...

This article highlights the importance of professionalism practices in daily life organizations with all their human resources. The paradigm must influence organizational culture culture, and consequently reproducibly reflect it professional profiles, individual collective portfolio competencies, as well practices, or production goods services. In course discussion, attention was paid to some f...

The COVID 19 pandemic in early March 2020 starting from Wuhan had a very large impact on the global economy and Indonesian economy, forced government to establish PPKM policy (Implementation of Restrictions Community Activities) suppress spread Covid Indonesia. Indonesia's State Gross Domestic Product fell second quarter 2021 amounting -5.32% also having an stock market Indonesia at January 02 ...

Gold is often used by investors as a hedge against inflation or adverse economic times. Consequently, it important for to have accurate forecasts of gold prices. This paper uses several machine learning tree-based classifiers (bagging, stochastic gradient boosting, random forests) predict the price direction and silver exchange traded funds. Decision tree bagging, forests predictions are much m...