In this paper we present a reformulation of a lemma due to Lippman and McCall - initially formulated a unique random variable - to be applied to the case of several random variables, and we illustrate its use in the theory of the firm under uncertainty. We have performed this on a recent model...

The goal of this study is to get a premium calculation principle, for the life insurance business, based on a coherent risk measure (Wang, 1995) in the form of power, called \Proportional Hazards (PH) Transforms" to justify the recommendation of Solvency II to reduce the effect of the mortality...

Considering the investment in education as uncertain financial decision making we modify the short-cut method of calculating rates of return to education by incorporating the risk premium. Recognizing that market risk isn't the only factor affecting returns, we estimate the returns to education...

This paper examines the factors that affect inflows - outflows of capital in bond mutual funds that operated in the Greek market during the period 1997-2005. Investors in bond mutual funds do not seek for high gross returns in order to determine their investment decisions in contrast with...

The classical APT model is of the form r j - E(r j) = beta j(I - EI) + epsilon j, where r j - E(r j) is the earning deviation (called basic ariance-profit) of the security j, I is a common factor. This paper considers the impact on the securities return caused by the skewness and kurtosis of the...

Passive investment strategies basically aim to replicate an underlying benchmark. Thereby, the management usually selects a subset of stocks being employed in the optimization procedure. Apart from the optimization procedure, the stock selection approach determines the stock portfolios's...

This paper examines the overreaction hypothesis on the JSE Securities Exchange (JSE) documented by Page and Way [5] and Muller [4] over a longer and more recent period from 01 January 1993 to 31 March 2009. The mean reversals due to investor overreaction are found to be stronger for the past...

Even though a random walk process is from a statistical point of view not predictable, some movements can be correlated with specific events concerning other variables. Then, predictable patterns may arise being dependent on this joint event. There is evidence given that equity price busts being...

Exchange-traded funds (ETFs) exist for stock, bond and commodity markets. In most cases the underlying feature of an ETF is an index. Fund management today uses the active and the passive way to construct a portfolio. ETFs can be used for passive portfolio management, for which ETFs with...

This article characterizes the properties of the compensation scheme of delegated portfolio management that would lead to the selection of high risk-high return portfolios. In particular, it provides conditions under which a non-monotone payment structure emerges as an optimal contract, which...