funds into those having (1) unskilled, (2) zero-alpha, and (3) skilled fund managers, net of expenses, even with cross-fund … alpha) funds prior to 1995, but almost none by 2006, accompanied by a large increase in unskilled (negative alpha) fund … managers—due both to a large reduction in the proportion of fund managers with stockpicking skills and to a persistent level of …

to pay one fifth of her expected return to switch from the standard GARCH(1,1) estimator to the aggregation …

computationally cheap and extremely accurate — most notably in the tail, which is crucial for risk calculations. A simulation study …

performance fully disappears once transaction costs are taken into account. …

Considered here is on-line portfolio management aimed at maximizing the long-run growth of financial wealth. The … portfolio is repeatedly rebalanced in response to observed returns on diverse assets. Suppose statistical information and …

These research addressess whether geographic diserfication provides benefits over industry diversification in a sample … of European country and industry indexes.The methodology allows performance comparison with short-slling constraints … argument that country diversification is a superior approach. In the case of realistic weights on portfolios such as, short …