Extending the modern portfolio theory: A portfolio duration choice model

Dr. Fahmy received Research for Professional Development funds to re-examine the Prebisch-Singer hypothesis of a downward secular trend in the price of primary commodities relative to manufactures.

The study employed a unique data set of commodity prices to re-examine the Prebisch-Singer (PS) hypothesis of a downward secular trend in the price of primary commodities relative to manufactures. The study uses a multiresolution wavelets decomposition to separate the real price series into time and scale components and test the PS hypothesis in the short- and long-run using a bivariate co-integration framework. The results are of particular importance to international trade regulators and policy makers of developing economies that depend mainly on primary commodities in their exports.