Predicting risk: some new generalizations
Article Abstract:
Portfolio risk assessment requires the use of adjustment methods to derive predictions of future beta coefficients from data on a reference market's historical betas. These adjustment methods are usually based on prior information on the cross-sectional distribution of historic betas. Investment fund managers who wish to improve forecast performance may incorporate information on industry-based and size-based cross-sectional distributions in their analysis of risk. This incorporation of added information can significantly enhance forecast accuracy, thereby improving portfolio risk assessment for securities of individual firms in relation to that of the reference market portfolio.
Publication Name: Management Science
Subject: Business, general
ISSN: 0025-1909
Year: 1992
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A sequential model of R & D investment over an unbounded time horizon
Article Abstract:
Free entry can cause excessive competition and too much corporate investment by both successful and unsuccessful corporations. The success-breeds-success assumption is basically responsible for this effect. A three-part policy of patent life restrictions, firm subsidies, and entry taxes can be used to correct such a market failure. One disadvantage of patent life restrictions is that winners may overcompensate and therefore not invest sufficiently, suggesting the need for a consecutive win subsidy.
Publication Name: Management Science
Subject: Business, general
ISSN: 0025-1909
Year: 1987
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