This paper applies the mean-variance portfolio optimization (PO) approach and the stochastic dominance (SD) test to examine preferences for international diversification versus domestic diversification from American investors’ viewpoints. Our PO results imply that the domestic diversification...

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 is large. Bai, Liu, and Wong (2006,2009a,b) propose...

Studying the characteristics of different income distributions, and compare the differences among different income distributions with respect to geographic regions, and changes over time periods is a very important area in economics. In order to compare the differences among different income...

Studying the characteristics of different income distributions, and compare the differences among different income distributions with respect to geographic regions, and changes over time periods is a very important area in economics. In order to compare the differences among different income...

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...

Extending the work of Jobson and Korkie (1981), Lo (2002) and Memmel (2003), this paper applies the technique of the repeated measures design to develop the Multiple Sharpe ratio test statistic to test the hypothesis of the equality of the multiple Sharpe ratios. We also work out the asymptotic...

Mathematics plays a vital role in many areas of finance and provides the theories and tools that have been widely used in all areas of finance. In this editorial, we tell authors the ideas on what types of papers we will accept for publication in the area of mathematical finance. We will discuss...

The Efficient Market Hypothesis states that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear...