We study a generalization of the Merton's original problem of optimal consumption and portfolio choice for a single investor in an intertemporal economy. The agent trades between a bond and a stock account and he may consume out of his bond holdings. The price of the bond is deterministic as...

By means of service-oriented architectures the IT support of processes can be designed as a portfolio of individual IT services provided by different suppliers. The processes are designed based on selection decisions between IT services that potentially have to be included. Many companies...

The shortage function has recently been introduced in portfolio selection theory for measuring efficiency. In this paper we focuss on the case of shortselling. We show that, in such a case, the shortage function can be computed in closed form. Some issues concerning duality are also analyzed. We...

We study a generalization of the Merton's original problem of optimal consumption and portfolio choice for a single investor in an intertemporal economy. The agent trades between a bond and a stock account and he may consume out of his bond holdings. The price of the bond is deterministic as...

Purpose – The purpose of this paper is to reexamine the value, momentum and size factors employed in the trading strategy originally proposed by Reinganum. Also to enhance our understanding of the impact of these factors over time; to evaluate the effectiveness of these factors; to develop new...

Purpose – The purpose of this paper is to add to the literature on the impact of the Morningstar ratings by examining the impact of individual stock ratings in the Hare and Tortoise portfolios. Design/methodology/approach – This study uses an event study approach, where the effect of the...

The literature shows a substantial portion of momentum profits come from illiquid investments and short-selling, entailing abnormal transaction costs. Concentrating on liquid long-only investments, we investigate momentum using index out-performance portfolio selection (via a modified Sortino...

Purpose – The purpose of this paper is to originate a proactive approach for the quantification and analysis of liquidity risk for trading portfolios that consist of multiple equity assets. Design/methodology/approach – The paper presents a coherent modeling method whereby the holding...

PPurpose – The purpose of this paper is to show how recent capital gains affect ex-dividend stock pricing. Traditional models assume that investors are motivated to sell a stock before its ex-date to avoid paying higher taxes on dividends. However, if a stock has appreciated significantly,...

Purpose – The purpose of this paper is to determine the best conditional asset pricing model for the Tokyo Stock Exchange sample by utilizing long-run daily data. It aims to investigate whether there are any other firm-specific variables that can explain abnormal returns of the estimated asset...