We decompose the conditional expected mutual fund return in ve parts.Two parts, selectivity and expert market timing, can be attributed to manager skill, and three to variation in market exposure that can be achieved by private investors as well.The dynamic model that we use to estimate the...

In this paper we evaluate applications of (return based) style analysis.The portfolio and positivity constraints imposed by style analysis are useful in constructing mimicking portfolios without short positions.Such mimicking portfolios can be used, e.g., to construct efficient portfolios of...

In this paper we show how style analysis of mutual funds can be used to circumvent the problem of self-reported investment styles, and to improve relative performance evaluation. Subsequently, we relate style analysis to performance evaluation and present results on the performance of Dutch...

We study the optimal consumption and portfolio choice problem over an individual's life-cycle taking into account annuity risk at retirement. Optimally, the investor allocates wealth at retirement to nominal, inflation-linked, and variable annuities and conditions this choice on the state of the...

Hedge funds databases are typicall subject to high attrition rates because of fund termination and self-selection.Even when all funds are included up to their last available return, one cannot prevent that ex post conditioning biases affect standard estimates of performance persistence.In this...