return innovations. Second, with respect to determination of the portfolio weights, the conditional distribution of the …This paper characterizes the asymptotic behaviour, as the number of assets gets arbitrarily large, of the portfolio …, we establish that a set of appealing properties, so far unnoticed, characterize traditional Markowitz portfolio trading …

funds’ exposure to known risk factors. Employing a quantile regression approach reveals that fund performance is highly …. Fund performance is evaluated against funds’ designated market indices and representative style portfolios. Consistently … with previous studies, no significant differences in performance and risk are found between female and male managed funds …

Under conditions of risk it makes a difference whether the discount rate is determined as an expected present or as an …

We define a class of risk-taking-neutral (RTN) background risks. These background risks have the property that they … will not alter decisions made with respect to another risk, for individuals with HARA utility. If we wish to compare a … decision made with and without some exogenous background risk, it is often easier to compare the decision made to one made with …

-shifting channel, we find that fund investors in countries with decreased real interest rates shift their portfolio investment out of …) tightness of monetary policy to examine its influence on equity and money market flows. In line with a powerful risk …

rate of interest on liquid wealth: (i) mortgage debt, by amplifying risk aversion, diminishes the likelihood that … ambiguously signed because of competing portfolio and hedging considerations. Exploiting the longitudinal dimension of the British …

-investment-horizons perspective, all three assets could be used in a well-diversified portfolio only during relatively short periods. …