In this paper we develop the rst estimator of the covariance matrix that relies solely onforward-looking information. This estimator only uses price information from a cross-sectionof plain-vanilla options. In an out-of-sample study for US blue-chip stocks we show that aminimum-variance strategy...

This paper studies the flow-performance relationship of three di®erent investorgroups in mutual funds: Households, financial corporations, and insurance compa-nies and pension funds, establishing the following findings: Financial corporationshave a strong tendency to chase past performance and...

We present evidence of the impact of buy-side analysts on the behavior and performanceof fund managers. Using data provided by a large global asset manager,we relate buy-side analysts’ recommendations to fund transactions on a daily basis.Our results show that buy-side analysts have a...

In this paper the dynamic portfolio selection problem is studied for the first time in a dual utility theory framework. The Wang transform is used as distortion function and well diversified optimal portfolios result both with and without short sales allowed.

The Cumulative Prospect Theory (CPT) is one of the most popular theories for evaluating the behavior of decision makers in the context of risk and uncertainty. This theory emerged as a generalization of the Expected Utility Theory (EUT) and being a relatively recent theory, its application has...