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Cross-Sectional Analysis through Rank-based Dynamic Portfolios

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Academic year: 2021

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Figure

Figure 1: Composition of the walk from γ Y,t to γ Y,t+1 as a determined walk from γ Y,t to γ X,t and a random walk from γ X,t to γ Y,t+1 .
Figure 2: Random walks of two independent variables.
Figure 3: Stratification with two origins γ X 1 and γ X 2 at a distance n 1,2 = 1 from each other.
Table 1: Number of portfolios γ ∈ Γ, i.e. p n n 1,2 1 ,n 2 , at the distances n 1 from γ X 1 and n 2 from γ X 2 when n 1,2 = 1.
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