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The most relevant practical impediment to an application of the Markowitz portfolio selection approach is the problem of estimating return moments, in particular return expectations. We analyze the consequences of using return estimates implied by analysts' dividend forecasts under the explicit...
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Performance fees for portfolio managers are designed to align the managers' goals with those of the investors and to motivate managers to aquire superior information and to make better investment decisions. A part of the literature analyzes performance fees on the basis of market valuation. In...
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The theory of fair geometric returns, F theory for short, rejects the generally accepted notion that volatility is the … geometric return. In order to get to the point, F theory, in addition to its own ideas, resorts to information theoretical …-called) concept of the fugue – a novel countercyclical investment strategy borrowed from music theory; as well as an F-theory …
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