This article shows how asset characteristics can be incorporated into the Bayesian portfolio selection framework. We use Gaussian process priors to model the belief that assets with similar characteristics are likely to have similar expected returns. The resulting Bayesian shrinkage estimator...

It is already known, under certain conditions including stochastic inequalities, the comparison of moments. In this paper, we will study in detail the reverse of this problem, that is, the stochastic orderings implied by moments inequalities. We will limit our study to the absolute value of...

An analogue can be made between: (a) the slow pace at which species adapt to an environment, which often results in the emergence of a new distinct species out of a once homogeneous genetic pool, and (b) the slow changes that take place over time within a fund, mutating its investment style. A...

In this paper we study the stochastic area swept by a regular time-homogeneous diffusion till a stopping time. This unifies some recent literature in this area. Through stochastic time change we establish a link between the stochastic area and the stopping time of another associated...

This paper analyzes the single period portfolio selection problem on the location-scale return family. The skew normal distribution, after recentering and reparameterization, is shown to be in this family. The recentered and reparameterized distribution, called factor-recentered skew normal, can...