This paper focuses on the estimation of mutual fund styles by return-based style analysis. Usually, the investment style is assumed to be either constant through time, or time variation is implicitly accounted for by using rolling regressions. The former assumption is often contradicted by data...

A popular argument states that most of the diversification in a portfolio can be obtained with a rather small number of securities. In this paper we present three algorithms to approach the underlying NP-hard problem of portfolio optimization with a cardinality constraint. All three of these...

A relevant issue in the procyclicality debate over Basel II is the type of rating which could be preferred from both an individual and an economy-wide point of view in the light of the relation between capital requirements and the business cycle. The objective of the present paper is to evaluate...

One of the challenges of using downside risk measures as an alternative constructor of portfolios and diagnostic devise is in their computational intensity. This paper outlines how to use downside risk measures to construct efficient portfolios and to evaluate portfolio performance in light of...

Insurance companies invest their wealth in financial markets. The wealth evolution strongly depends on the success of their investment strategies, but also on liquidity shocks which occur during unfavourable years, when indemnities to be paid to the clients exceed collected premia. An investment...

This paper introduces a simulation model extending the well known Capital Asset Pricing Model by Sharpe and Lintner. Investors are modeled as multi-period forward looking portfolio optimizers. However, the future is not known \emph{a priori}, but has to be modeled and estimated. We allow agents...

When one constructs long-term investment plan, one needs to consider the fact that long-term bonds are still exposed to inflation risk. This paper studies the intertemporal portfolio-consumption decision where the investment opportunities include "inflation-indexed bonds" -- a modern financial...

We present a continuous minimax model for robust portfolio optimization based on worst-case analysis. The classical Markowitz framework is extended to continuous minimax with upper and lower bounds on the return scenarios and a discrete number of rival risk scenarios. The model integrates...

In line with Campbell and Cochrane (1999) and Gomes and Michaelides (2003), we study the implications of various types of habit formation in a further examination of some asset pricing puzzles. Precisely, we build an overlapping generations economy consisting of different types of agents...