In this paper, expected utility, defined by a Taylor series expansion around expected wealth, is maximized. The coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The following parameters are varied: the riskless return, the...

The main objective of this paper was to establish which behavioural finance biases are associated with a certain level of risk tolerance and investor personality. Furthermore, the study aimed to indicate how these behavioural finance biases can influence investment decisions. Since behavioural...

This paper derives a robust online equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. A pairs rebalancing rule chooses some pair of stocks in the market and then perpetually executes rebalancing trades so...

Maximising returns is often the primary goal of asset management but managing and mitigating portfolio risk also plays a significant role. Successful active investing requires outperformance of a benchmark through skillful stock selection and market timing, but these bets necessarily give rise...

We study Aumann and Serrano's (2008) risk index for sums of gambles that are not dependent. If the dependent parts are similarly ordered, then the risk index of the sum is always larger than the minimum of the risk indices of the two gambles. For negative dependence, the risk index of the sum is...

This research aims to achieve a better understanding of the modes of conceptualization and thinking on issues of governance. It is part of a cognitive approach, to our knowledge unprecedented. This research has shown that the mapping concepts of governance can provide the original performance...

This paper argues that the link between poverty and drug-related crime might be spurious. We take an empirical approach to investigate the causality and plausibility of this link. Firstly, we regress crime against envisaged explanatory variables in order to estimate the contribution of poverty...

The purpose of this study is to assess model risk with respect to parameter estimation for a simple binary logistic regression model applied as a predictive model. The assessment is done by comparing the effectiveness of eleven different parameter estimation methods. The results from the...

The purpose of this study is to evaluate the influence of economic policy uncertainty in determining the FDI inflow for 19 economies with higher incomes between 2000 and 2021. Using the panel Ardl approach, the data were examined. The dynamic fixed effect approach was selected for assessing the...

Risk premium plays an important role in stock investing. Experiments have shown that value stocks typically have a higher average return than growth stocks; however, this effect persists indefinitely, even disappearing in some stages. Some studies suggested high volatility in the series of...