Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 11 of 11 for “"Sloan School of Management. Master of Finance Program."”.
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Use of modern machine learning techniques to predict the occurrence and outcome of corporate takeover events
The objective of this project is to use machine learning to predict the occurrence of corporate takeovers. The findings show that random forest yields the best predictions out-of-sample based on the area under the curve (AUC) metric. As such, 8 independent variables are considered statistically …
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COAL : a continuous active learning system
… by varying its attributes, where effectiveness of the new product is assessed by humans. To achieve this, we mapped the task to a machine learning problem. The solution is two fold: learn a non linear model that can map the attribute space to the human response, which can then be used to make …
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Development of an econometric model for dynamic management of recession risk in equity portfolios : construction of an empirical measure of time-varying recession risk : estimation of cross-sectional differences in recession risk exposure among equities and associated differences in risk premia
Recessions are an inherent part of economic cycles. During the last decade we have experienced two extended periods of significant economic slowdown accompanied by major downturns in most of the asset classes and especially in equities. Investors during recessions suffer from severe losses and …
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Retail prices and the real exchange rate
… gathered from online retailers for a basket of countries to investigate the Purchasing Power Parity relationship, exchange rate pass-throughs and the effect of price shocks on nominal exchange rates. We fit a structural VAR model on exchange rate and relative price data to compute impulse …
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Optimal versus naive diversification : do different loss functions improve portfolio choice?
I estimate the out-of-sample performance of the equal weight, minimum variance and mean-variance model portfolios in different settings. In each setting, I vary the loss function used when estimating returns and covariances, length of the estimation window, and number of factors used in our …
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Financing methods that drive innovation in biotech and pharmaceuticals : the meagfund [sic] IPO model
… therapies. We propose a new application of this megafund biopharma model - the megafund IPO model. There are almost arbitrage-like opportunities for investors where there are heavily discounted investments opportunities which are generated in IPO's. However, these events driven …
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The impact of market structure on price determination : a simulation approach using multi-agent reinforcement learning in continuous state and action space
… proposes a simulation tool to study the question of how market structure and market players' behavior affect price movements. The adaptive market simulation system consists of multiple agents and a centralized exchange. By applying reinforcement learning techniques, agents evolve and become …
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The influence of institutional investors on firm value
The impact of corporate governance on firm value has been extensively debated by academics and business practitioners. Some studies show that companies that allow minority shareholders to have more control are likely to create greater shareholder value than those firms with concentrated control, …
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A functional perspective to planning waste systems in developing countries : strategies for the public and private sector : A case study of Muzaffarnagar, India
… perspective is a stand-alone extension of integrated sustainable waste management. In January 2015 the functional perspective was applied to analyze the waste system of Muzaffarnagar, India, and to propose solutions to existing problems. The functional perspective was found to be helpful …
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Examining the recent rising preferred perpetuals and its market anomaly in high yield space
… unique preferred shares that have character of perpetual subordinated bond and that trade in bond market. Among those firms, DCP Midstream issued another preferred shares that have same feature, but trade in mezzanine market. This paper explores the recent rising preferred shares and its …
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An exploration of two accounting-based models for earnings misstatements and their implications for stock returns
… and the Dechow F-Score) and the financial data of public companies from 2004 to 2012, 1 find that the M-Score (F-Score) predicts less (more) earnings overstatements during the recent financial crisis in 2007-2008 than other sample years. However, a detailed investigation at the industry level …