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This paper presents the findings of a research effort to create an agent based economy where investors collect information and simultaneously make decisions about how much of their wealth they are each willing to risk. As an extension of the capital asset pricing model (CAPM), the investors must choose how much of their wealth to allocate between a risk-free asset and the risky asset. The price of...
The international wine industry has grown rapidly in recent years, particularly in the area surrounding Mendoza, Argentina. Alta Vista, a winery near the city of Mendoza, produces two million bottles of wine annually, approximately half of which are exported to be sold internationally. The export process is complex; initiating a sale, evaluating inventory, designing and producing appropriate labels,...
This paper investigates a systematic quantitative investment strategy utilizing closed-end funds (CEFs). CEFs are advantageous to investors because they can be traded at a discount from their net asset value (NAV), as opposed to mutual funds which are traded at their exact NAV. The authors seek to explore different methods for taking advantage of this discount. They developed a program that exploits...
This project examines an alternative technique for calculating the probability distribution of returns of equities and assets consisting of equities, such as exchange-traded funds (ETFs) and equity indexes. In particular, Bayesian networks are used, which allow conditioning upon prior information and are capable of evolving and adapting to current market trends through learning processes. Posterior...
This project examined the profitability of applying momentum-investing strategies to commodity futures markets. Momentum strategies exploit short-term price continuation of securities by buying the highest performers, selling the lowest performers, and holding the positions for short periods of time. This project focused on twenty of the highest volume futures contracts and narrowed the scope of the...
This project examined how one should invest in American stock markets by challenging the semi-strong form of the efficient market hypothesis. Its semi-strong form states that the price of any given security accurately reflects any information that is publicly available. Thus, an investor in an efficient market can not exploit this information to earn above average earnings consistently. In this project...
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