This paper describes an empirical study of shortfall optimization using Barra fundamental factors. We compare minimum shortfall to minimum variance portfolios in the US, UK, and Japanese equity markets using Barra Style Factors (Value, Growth, Momentum, etc.). We show that minimizing shortfall...

Purpose – The purpose of this paper is to describe a generalization of the familiar two-sample t-test for equality of means to the case where the sample values are to be given unequal weights. This is a natural situation in financial risk modeling when some samples are considered more reliable...

Purpose – The purpose of this paper is to describe a generalization of the familiar two‐sample t ‐test for equality of means to the case where the sample values are to be given unequal weights. This is a natural situation in financial risk modeling when some samples are considered more...

Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations,...

Main description: Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric...