This paper anwers the question if the euro and accompanying measures of financial integration had a discernable impact on the degree of diversification of European investors?

This paper deals with the the evolution of portfolio rules in markets withstationary returns and endogenous prices.

The goal of this chapter is twofold: First, we present an overview of the current researchon hedge fund performance. Second, we provide new evidence for the Europeanhedge fund industry. The empirical analysis scrutinizes the return patterns in thepast and alerts investors to the potential...

This paper presents a new approach to incorporate estimation risk into mean-variance portfolio selection. The key contribution of our analysis is that we model the estimation risk as a second, independent source of risk.

This paper finds out that the risk exposure of a trader subject to a VaR limit is always lower than that of an unconstrained trader and that the probability of extreme losses is also lower.

This paper solves the intertemporal investment problem of an investor holding a portfolio of default-free and defaultable bonds.

This paper shows optimal asset allocation during these two phases must be different.

This paper deals with the country allocation provides benefits over industry allocation in a sample of European country and industry indexes.

In this paper cluster analysis is used to construct homogeneous groups from 157 UK local markets using commercial property returns.