Using the Markowitz mean-variance portfolio optimization theory, researchers have shown that the traditional estimated return greatly overestimates the theoretical optimal return, especially when the dimension to sample size ratio p/n is large. Bai, Liu, and Wong (2009) propose a...

This paper proposes the spectral corrected methodology to estimate the Global Minimum Variance Portfolio (GMVP) for the high dimensional data. In this paper, we analysis the limiting properties of the spectral corrected GMVP estimator as the dimension and the number of the sample set increase to...

This article investigates the impact of gold in portfolios in distinguishing between Islamic and conventional stocks as well as between risk-averse and risk-seeking investors, while considering sectorial specificities. Using daily data from the Dow Jones indexes and the London gold market over...

To obtain better optimal portfolios, academics develop the behavioral portfolio theory (BPT) with two mental accounts by minimizing the risk as well as maximizing the return. However, there are some limitations to the existing BPT. To circumvent the limitations, this paper proposes a new...

The high-speed growth of the health care sector has given this sector an increasingly important role in the stock market. This sector however has the highest mean in our study and a low correlation with the business cycle. On the other hand, T-Bill is also an important asset in investment...

This paper develops new financial theory to link the third order stochastic dominance for risk-averse and risk-seeking investors and provide illustration of application in risk management. We present some interesting new properties of third order stochastic dominance (TSD) for risk-averse and...

We employ the stochastic dominance (SD) approach that utilizes the entire return distribution to rank the performance of exchange-traded funds as traditional mean-variance and CAPM approaches may be inappropriate given the nature of non-normal returns. We find second and third-order stochastic...

This paper extends Jiang, et al. (2010), Guo, et al. (2017), and others by investigating the impact of background risk on an investor's portfolio choice in the mean-VaR, mean-CVaR and mean-variance framework, and analyzes the characterizations of the mean-variance boundary and mean-VaR efficient...

To circumvent the limitations of the tests for coefficients of variation and Sharpe ratio, we develop the mean-variance-ratio statistic to test for the equality of the mean-variance ratios. We prove that our proposed statistic is uniformly most powerful unbiased. In addition, we provide the...

In this paper, we first state some well-known problems including the Friedman-Savage paradox raised by Friedman and Savage (1948) who wonder why individuals would like to buy insurance as well as buy lottery tickets. To provide solutions to the problems, we first use the idea from Fishburn and...