We investigate the performance of US mutual funds that employ different ethical criteria: religious, socially responsible, and irresponsible. Performance is evaluated over different market regimes using a Markov-switching conditional CAPM approach that endogenously defines different states of...

This research addresses an important problem in finance, which is the portfolio selection and management problem. Modern portfolio theory and Markowitz efficient frontier start with a set of assets (securities) and generate an optimal weight combination for the optimal risky portfolio that lies...

This paper addresses the problem of portfolio selection under a multifactor asset return model, using Bayesian analysis to deal with uncertainties in parameter estimation and model specification. These sources of error are ignored in the classical mean-variance method. We apply two approaches:...

This study uses factor analysis to simplify the complex relationships among stock markets and to reduce the number of markets required for portfolio construction. Our sample consists of the US and 11 Asia-Pacific stock markets. We find that the reduced portfolio obtained from factor analysis has...

Ziel des vorliegenden Beitrags ist es, die Auswirkungen von Kongruenzdurchbrechungen auf die Bewertung, Vorteilhaftigkeitsprüfung und Performance-Messung mit buchwertbasierten Residualgewinnen zu bestimmen. Wir wählen dazu folgendes Vorgehen: Kapitel II stellt die Wirkungsweise des...

Using virtual stock markets with artificial interacting software investors, aka agent-based models, we present a method to reverse engineer real-world financial time series. We model financial markets as made of a large number of interacting boundedly rational agents. By optimizing the...