BERND PAPE Asset Allocation, Multivariate Position Based Trading ...

ACTA WASAENSIA 52.10.1 Cross-Sectional Predictability . . ................. 332.10.2 SeasonalAnomalies......................... 353 The Search for the Return Generating Process:Statistical Approach 373.1 RandomWalkandMartingaleHypothesis ................ 373.2 Modelling the Unconditional Return Distribution ............ 383.2.1 InfiniteVarianceHypothesis.................... 383.2.2 Combinations of Jump and DiffusionProcesses ......... 403.2.3 Subordinated Normal Model andTimeChangedBrownianMotion ................. 423.2.4 DescriptiveModels ......................... 463.2.5 ComparisonandEvaluation .................... 483.3 Modelling Time-Serial Dependence of Returns . . ............ 513.3.1 Stochastic Volatility Models . . . ................. 513.3.2 GARCHModels........................... 533.4 Multifractal Models............................. 574 Behavioral Explanations 614.1 EfficientMarketsversusEndogeneousMarketDynamics ........ 61