Previous research has assessed the impact of policy uncertainty on a few macro variables. In this paper, we consider its impact on oil prices. Oil prices are usually determined in global markets by the law of demand and supply. Our concern in this paper is to determine which country’s policy...

Mean-variance optimization often leads to unreasonable asset allocations. This problem has forced scholars and practitioners alike to introduce portfolio constraints. The scope of our study is to verify which type of constraint is more suitable for achieving efficient performance. We have...

This note provides a neat and enjoyable expansion and application of the magnificent Ordentlich-Cover theory of "universal portfolios". I generalize Cover's benchmark of the best constant-rebalanced portfolio (or 1-linear trading strategy) in hindsight by considering the best bilinear trading...

Oil, also called black gold, is considered as the commodity which has the greatest impact on the world's economy, and it has been studied in terms of its relationship and effects on macroeconomic variables such as Gross Domestic Product (GDP), inflation, trade balance, exchange rate and some...

This paper examines the performance of a naïve equally weighted buy-and-hold portfolio and optimization-based commodity futures portfolios for various lookback and holding periods using data from January 1986 to December 2018. The application of Monte Carlo simulation-based mean-variance and...

The aim of this study is to analyze how depreciation rules influence the decision behavior of investors. For this purpose, we conduct a laboratory experiment in which participants decide on the composition of an asset portfolio in different choice situations. Using an experimental setting with...

In previous works, the importance of risk management implementation was addressed with regard to the problem of bankruptcy threat, with the explanation of risk impact on higher bankruptcy costs or the underinvestment problem. However, the evaluation of the impact of risk outcomes is technically...

In uncertain food safety environments, the suppliers of food raw materials (FRM) are facing crucial food safety issues. Therefore, this article aims to probe the risk-averse attitude of FRM suppliers in the face changing marketing environments, in order to establish a decision-making theory as a...

In an economy with a sovereign wealth fund (SWF), the government may draw on the fund to supplement other government revenues. If the fund is invested in risky assets, this introduces a new stochastic element into the government’s budget. We analyze the interaction between the draw from and...

In the field of portfolio management, practitioners are focusing increasingly on risk-based portfolios rather than on mean-variance portfolios. Risk-based portfolios are constructed based solely on covariance matrices, and include methods such as minimum variance (MV), risk parity (RP), and...