This paper focuses on Stochastic Dominance (SD) efficiency in a finite empirical panel data. We analytically characterize the sets of unsorted time series that dominate a given evaluated distribution by the First, Second, and Third order SD. Using these insights, we develop simple Linear...

Outsourcing to Contract Research Organizations (CROs) has become a widespread practice by pharmaceutical and biotechnological firms seeking to reduce risks and costs associated to the development of new products. This paper analyzes empirically the efficiency of the CROs industry by looking at a...

The proposal “Convertible/Bail-inable Dividend Bonds“ aims to reduce limited liability of bank owners: We propose that part (or the whole) dividends of the banks are not paid out cash to the equity holders. The dividends of the banks are given to the supervisory authority, which issues...

This paper points out the importance of Stochastic Dominance (SD) efficient sets being convex. We reviewclassic convexity and efficient set characterization results on SD efficiency of a given portfolio relative to adiversified set of assets and generalize them in the following aspects. First,...

I investigate the question of how to construct a benchmark replicating portfolio consisting of a subset of the benchmark's components. I consider two approaches: a sequential stepwise regression and another method based on factor models of security returns. The first approach produces the...

Although the economic recovery seems off to a stronger start than anticipated earlier, there are considerable differences between the various regions. Emerging and developing economies are expected to benefit from strong internal demand while for most advanced economies the recovery is expected...

This article outlines a different way to think about building a retirement income strategy, which moves dramatically away from the concepts of safe withdrawal rates and failure rates. The focus is how to best meet two competing financial objectives for retirement: satisfying spending goals and...

This paper argues that in the presence of liquidation costs, portfolio diversification by financial institutions may be socially inefficient. We propose a stylized model in which individual banks have an incentive to hold diversified portfolios. Yet, at the same time, diversification may...

We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more...

Combining long-only-constrained factor sub-portfolios is generally not a mean-variance-efficient way to capture expected factor returns. For example, a combination of four fully invested factor sub-portfolios — low beta, small size, value, and momentum — captures less than half (e.g., 40%)...