Employing financial futures to increase the return on near cash (Treasury bill) investments
Article Abstract:
The pricing inefficiencies of Treasury bill futures are exploited from an investment standpoint through the use of an investment decision model developed after reviewing the inefficiencies uncovered by previous research. The exploitation structured by the decision model increases the return on Treasury bill investments without altering the maturity characteristics of the overall investment portfolio. The investment decision model developed employs dynamic programming techniques, with the dynamic programming algorithm used to define the parameters of the investment data and trading information available for real-time markets.
Publication Name: Management Science
Subject: Business, general
ISSN: 0025-1909
Year: 1985
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Portfolio analysis with partial information: the case of grouped data
Article Abstract:
An ideal portfolio selection model is approximated using only stock rankings and average stock group characteristics, including risk. These are usually the only data most investment analysts have to use, not expected returns, standard deviations, and covariances, as assumed in portfolio theory. Stocks are presented in groups usually chosen by the financial community and appropriate rules are derived for each group. Different investment criteria result from different beliefs about each stock group.
Publication Name: Management Science
Subject: Business, general
ISSN: 0025-1909
Year: 1987
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New public offerings, information, and investor rationality: the case of publicly offered commodity funds
Article Abstract:
A study of commodity funds shows that investment in publicly offered funds is rational despite the poor investment record earned by the funds. Results of the research reveal that the information supplied to investors has an upward bias, so true performance cannot be derived from the information. Results also indicate that the findings should be transferable to other limited partnerships.
Publication Name: The Journal of Business
Subject: Business, general
ISSN: 0021-9398
Year: 1989
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