Bias in the Effective Bid-Ask Spread
In: Journal of Financial Economics (JFE), Forthcoming
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In: Journal of Financial Economics (JFE), Forthcoming
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Working paper
This study provides a background of the socio-political situation in Chad and the oil project, and analyses how the two will develop and interact in the future. A key feature is an analysis of the incentives in the oil project and their possible future changes. Chad is currently undergoing two processes of significant importance for its future development - political democratisation and transformation into an oil economy. For a country plagued with civil war for decades until 1990, and known as one of the poorest and most corrupt states in the world, this is a real challenge. The oil export started in late 2003, and boosted the economy in 2004. To avoid the disastrous experiences of most poor African oil states, unique oil management, control mechanisms and other conditionalities have been imposed by the World Bank - much thanks to pressure from the civil society and the international community. If implemented well, Chad may become a model for how a poor resource-rich country is able to promote socio-economic development and poverty reduction. However, this demands a close and coordinated cooperation between the Chadian government and the civil society, based on accountability and good governance, and with continuous support of the World Bank and the international community. The situation is fragile and progress is uncertain. If a broader economic development is achieved, conditions for an improved democratisation can be created in the long term.The Chadian oil project deserves continued close attention and monitoring. ; CONTENT -- Introduction -- Conceptual Framework -- State and Politics in Africa: Chad's Democratisation Process -- Natural Resources: The Chad-Cameroon Oil Project -- Conclusion -- References
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In: Accepted for publication in the Financial Review
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Working paper
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In: Forthcoming in The Financial Review
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In: Review of Financial Studies, Forthcoming
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Working paper
In: The Manchester School, Band 76, Heft s1, S. 134-156
ISSN: 1467-9957
Portfolio choice by full‐scale optimization applies the empirical return distribution to a parameterized utility function, and the maximum is found through numerical optimization. Using a portfolio choice setting of three UK equity indices we identify several utility functions featuring loss aversion and prospect theory, under which full‐scale optimization is a substantially better approach than the mean–variance approach. As the equity indices have return distributions with small deviations from normality, the findings indicate much broader usefulness of full‐scale optimization than has earlier been shown. The results hold in‐ and out‐of‐sample, and the performance improvements are given in terms of utility as well as certainty equivalents.
In: Journal of Finance Forthcoming
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