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Galton capital management4/16/2023 ![]() " Effects of Estimating Systematic Risk in Equity Stocks in the Nairobi Securities Exchange (NSE) (An Empirical Review of Systematic Risks Estimation)," " Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong," " Large Scale Covariance Estimates for Portfolio Selection,"ģ53, Tor Vergata University, CEIS, revised. " Latent Fundamentals Arbitrage with a Mixed Effects Factor Model,"īrazilian Review of Finance, Brazilian Society of Finance, vol. Andrei Salem Gonçalves & Robert Aldo Iquiapaza & Aureliano Angel Bressan, 2012." Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance,"Ġ503028, University Library of Munich, Germany, revised. Harvard Institute of Economic Research Working Papersġ897, Harvard - Institute of Economic Research.ħ589, National Bureau of Economic Research, Inc.ģ294737, Harvard University Department of Economics. " Measuring the Degree of Efficiency of Financial Market,"Ġ411003, University Library of Munich, Germany. " Model Uncertainty, Complexity and Rank in Finance,"Ġ411013, University Library of Munich, Germany. " The Unscientific Incompleteness and Bias of Unidirectional Projections (= Regressions): A Questionnaire,"Ġ410011, University Library of Munich, Germany. " Were Cobb and Douglas Prejudiced? A Critical Re-analysis of their 1928 Production Model Identification,"Ġ502013, University Library of Munich, Germany. " Investment Model Uncertainty and Fair Pricing,"Ĩ859, University Library of Munich, Germany. " System Identification in Noisy Data Environments: An Application to Six Asian Stock Markets,"Ġ410005, University Library of Munich, Germany. 82(3), pages 409-429, June.įull references (including those not matched with items on IDEAS) " Regression toward Mediocrity in Economic Stature,"Īmerican Economic Review, American Economic Association, vol. Journal of Finance, American Finance Association, vol. " Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," " A Scientific View of Economic Data Analysis,"Įastern Economic Journal, Eastern Economic Association, vol. " A Scientific View of Economic Data Analysis: Reply,"Įastern Economic Journal, Eastern Economic Association, vol. " An experiment in applied econometrics,"Ī61c0907-aba4-4d79-9b0e-7, Tilburg University, School of Economics and Management. " A Simplified Model for Portfolio Analysis," National Bureau of Economic Research, Inc, number beck81-1, March. " The Cross-Section of Expected Stock Returns," Fama, Eugene F & French, Kenneth R, 1992. ![]() Journal of Banking & Finance, Elsevier, vol. " ZETATM analysis A new model to identify bankruptcy risk of corporations," " Markets with endogenous uncertainty: theory and policy,"Ĩ612, University Library of Munich, Germany. " Measurement error and endogeneity in regression : Bounds for ML and IV-estimates,"Ĩ0b5811e-c9b0-4e05-b5fe-0, Tilburg University, School of Economics and Management. " Optimal Multi-Currency Investment Strategies with Exact Attribution in Three Asian Countries,"Ġ409047, University Library of Munich, Germany. Our conclusions have also serious consequences for the proper 'bench-marking' and recent regulatory proposals for the mutual funds industry. Our complete bivariate projection produces a correct representation of the epistemic uncertainty inherent in the bivariate measurement of relative market risk. This under-representation of systematic risk leads to inefficiencies in the capital allocation process, since biased betas lead to mis-pricing of mutual funds. Consequently, far too many mutual funds are marketed as 'defensive' and too few as 'aggressive.' Using our new methodology we found that, out of a total of 3,217 mutual funds, 2,047 funds (63.7%) claimed to be defensive based on the current industry standard methodology, but only 608 (18.9%) actually are. Mutual funds conventionally advertise their relative systematic market risk, or 'betas,' to potential investors based on incomplete measurement by unidirectional bivariate projections: they commit Galton's Error by under-representing their systematic risk. Our methodology of 'complete identification,' using simple algebraic geometry, throws new light on the continued commitment of Galton's Error in finance and the resulting misinformation of investors. ![]()
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