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This paper addresses the debate about the usefulness of high‐frequency (HF) data in large‐scale portfolio allocation. We construct global minimum variance portfolios based on the constituents of the S&P 500. HF‐based covariance matrix predictions are obtained by applying a blocked realized kernel estimator, different smoothing windows, various regularization methods and two forecasting models. We show that HF‐based predictions yield a significantly lower portfolio volatility than methods employing daily returns. Particularly during the 2008 financial crisis, these performance gains hold over longer horizons than previous studies have shown, translating into substantial utility gains for an investor with pronounced risk aversion. Copyright © 2013 John Wiley & Sons, Ltd. 相似文献
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Julie Barnett Lada Timotijevic Marco Vassallo Richard Shepherd 《Journal of Risk Research》2013,16(4):525-540
There is a widespread academic and policy debate about public responses to precaution in public health campaigns. This paper explores these issues in relation to the precautionary stance adopted in the UK around the regulation of mobile telecommunications. The aim of the paper is to examine the nature of attitudes to precaution, and the way in which these, along with other relevant variables, relate to the intention to adopt relevant behaviours. The results from an experimental study (n = 173) indicate that people distinguish between two dimensions of precaution: firstly in relation to its value or necessity per se and secondly as anchored to notions of governance. The two variables differentially relate to other variables including trust and uncertainty, and are predictive of intended behaviour change indirectly, through worry about mobile phone risks. Precautionary advice was generally interpreted as causing concern rather than providing reassurance. The results suggest that precaution may be considered a valuable stance but this does not mean that it is seen as good governance or that it will reduce concern. Whilst the discourse of precaution is aimed at reducing concern, it appears that the uptake of relevant behaviours is largely triggered by worry. 相似文献
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Using survey methodology we examined the relationships between commitment to moral self-improvement (CMSI), religiosity, ethical
problem recognition, and behavioral intentions in a sample of 242 business students. Results of the study suggest that CMSI
predicts ethical problem recognition and behavioral intentions. Our findings also suggest that CMSI is positively related
to religiosity. The study provides some evidence of CMSI being a mediator in the influence of religiosity on ethical problem
recognition and behavioral intentions. Compared to religiosity, CMSI turned out to be a better predictor of perceived importance
of ethics, ethical problem recognition, and ethical behavioral intentions. The results of the study have implications for
increasing understanding of ethical decision-making, future studies of business ethics, and business ethics education. 相似文献
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Muhos Matti Saarela Martti Foit Delbert Rasochova Lada 《The International Entrepreneurship and Management Journal》2019,15(1):43-62
International Entrepreneurship and Management Journal - Digitalisation has revolutionised health service delivery, which has provided global business opportunities for start-ups that specialise in... 相似文献
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