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...

We propose a portfolio selection model based on a generalized hyperbolic predictive distribution. This distribution incorporates uncertainties in mean and volatility of market returns. We then select an optimal portfolio with expected utility calculated under the predictive distribution. We...

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...