Enhanced Modern Portfolio Theory via Long Memory Regimes

by Waltzek, Chris Gilbert, Ph.D., NORTHCENTRAL UNIVERSITY, 2016, 152 pages; 10160710


This study involves an examination of the relationships between empirical market inefficiency and financial crises. The chief purpose of this experimental investigation is the enhancement of modern portfolio theory through a resolution to persistent market inefficiency and the efficient market hypothesis. A secondary study purpose is the establishment of a financial crisis-warning alert for the betterment of global society. The quantitative methodology utilizes t-Tests to facilitate statistical comparisons of the experimental portfolios vs. the control portfolios. The control portfolios receive fixed, continual contributions, while the experimental portfolios acquire new funds only amid favorable price regimes. The study population samples are comprised of approximately 20 years of index price data sans individual identifiers, from the Yahoo Finance website.

AdvisersAndrew Carpenter; Melanie Shaw
Source TypeDissertation
SubjectsEconomics; Finance; Economic theory
Publication Number10160710

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