While the Sharpe ratio is still the dominant measure for ranking risky assets, a substantial effort has been made over the past three decades to find a way to account for non-Normally distributed risks. This paper derives a generalized ranking measure which, under a regularity condition,...

If the elements of the choice set in a decision model involving randomness are not arbitrary, but restricted appropriately, an expected utility ordering of them can be represented by a mean standard deviation ranking function. These restrictions can apply to the form of, or can specify...

I describe and compare sources of data on citations in economics and the statistics that can be constructed from them. Constructing data sets of the post-publication citation histories of articles published in the “Top 5” journals in the 1970s and the 2000s, I examine distributions and life...

We replicate nine key results from the happiness literature: the Easterlin Paradox, the ‘U-shaped' relation between happiness and age, the happiness trade-off between inflation and unemployment, cross-country comparisons of happiness, the impact of the Moving to Opportunity program on...

Large shareholders may play an important role for firm performance and policies, but identifying this empirically presents a challenge due to the endogeneity of ownership structures. We develop and test an empirical framework which allows us to separate selection from treatment effects of large...

It is widely believed that correlations between international equity markets tend to increase in highly volatile bear markets. This has led some to doubt the benefits of international diversification. This article solves the dynamic portfolio choice problem of a US investor faced with a...

Mean-variance efficient portfolios constructed using sample moments often involve taking extreme long and short positions. Hence practitioners often impose portfolio weight constraints when constructing efficient portfolios. Green and Hollifield (1992) argue that the presence of a single...

We evaluate the performance of different models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. Comparisons are based on forecasts of future covariances as well as the out-of-sample volatility of optimized portfolios from each model. A few...

In the finance literature, a common practice is to create characteristic portfolios by sorting on characteristics associated with average returns. We show that the resulting portfolios are likely to capture not only the priced risk associated with the characteristic, but also unpriced risk. We...