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 …

. This latter observation also impliesthat concavication arguments which has been used in portfolio allocation problems with …

This paper extends Merton’s continuous time (instantaneous) mean-varianceanalysis and the mutual fund separation theory … Model holds with the marketportfolio induced by the growth optimal portfolio. The Markowitz-Tobin mutualfund separation is … maximizationof terminal portfolio value are derived. We present an example in which thestate price processes are specified as a …

positive and increasing in expected excess returns and risk, but decreasing in risk aversion. However, a calibration to US data …

agencies in order to predict the future risk of a set of borrowers. The method is developed following the steps suggested by … model with unobservable dynamic factor is estimated from French data on corporate risk. …

gives a survey of applications of prospect theory to the portfolio choice problem and the implications for asset pricing. We … portfolio selection. We suggest replacing the piecewise power value function of Kahneman and Tversky (1979) with a piecewise … disposition effect. Resolving these problems of prospect theory we show how it can be combined with mean variance portfolio theory. …