We propose a new holding horizon measure of active management and examine its relation with fund performance. Our measure identifies long-horizon funds as having higher future long-term alphas and owning stocks with superior long-term fundamentals. Such funds supply skills, but these skills only...

In a world characterized by the occurrence of uncontrollable and extreme events investors are often required to make decisions on the basis of the available information. The challenge they face is how to manipulate these information sets in order to get what can lead them to the optimal...

This paper shows that (i) project valuation via disequilibrium NPV+CAPM contradicts valuation via arbitrage pricing, (ii) standard CAPM-minded decision makers may fail to profit from arbitrage opportunities, (iii) standard CAPM-based valuation violates value additivity. As a consequence, the...

In this paper we first introduce microfinance institutions as an alternative investment instrument. We argue that beside socially responsible features of microfinance, there exists also significant portfolio enhancement opportunity in microfinance investments. Then we provide an overview of...

We consider a consumption and investment problem where an investor¡¯s investment opportunity gets enlarged when she becomes rich enough, i.e., when her wealth touches a critical level. We derive optimal consumption and investment rules assuming that the investor has a time-separable von...

This study examines the effect of oil prices on domestic investment in Ghana using quarterly time series data from 1984 to 2012. Dynamic Ordinary Least Squares (DOLS) technique was used to estimate the effect of oil price on domestic investment in Ghana. The analysis revealed that there is long...