Performance measurement is an area of crucial interest in asset valuation and investment management. High volatility as well as time aggregation of returns, amongst other characteristics, may distort the results of conventional measures of performance. In this work, we study the performance of...

The mutual fund industry has experienced huge growth internationally, becoming one of the primary vehicles through which individuals and most institutions invest in capital markets. Thus, the evaluation of the performance of mutual funds has become a very interesting research topic both for...

Due to the advancement of Information Technology it has been easier for investors to invest valuable money in portfolios. There has been availability of tools & data all the time to predict the market in decision-making, for which some models have been developed. With the rigorous research in...

This article presents a new approach for building robust portfolios based on stochastic efficiency analysis and periods of market downturn. The empirical analysis is done on assets traded on the Brazil Stock Exchange, B3 (Brasil, Bolsa, Balcão). We start with information on the assets from...

Purpose: This article deals with the retail investors' decision-making under risk, firstly addressing several theories of decision-making under risk. Following this theoretical framework, an analysis on investment strategies on the Croatian capital market has been conducted....

This paper discusses Hedge funds' risks, in particular the leverage risk, as it has the greater effect when applied both to derivatives or other asset classes alike. Evaluation of the effect of leverage could become complicated as this effect could be escalated by the liquidity and credit risks...

The controversy surrounding the current implementation of the patent system is well known. Some question whether the system has become entirely dysfunctional and disincentives innovation, particularly as the law operates within some industries. Moreover, early stage companies, particularly those...

A key metric for the assessment of innovative activity at the firm level is R&D intensity. R&D intensity is the ratio of a firm's R&D investment to its revenue (the percentage of revenue that is reinvested in R&D). Empirical and anecdotal evidence suggests that R&D intensity within an industry...

This paper originally proposes two unique closed-form solutions, respectively to risky assets only and a risk-free asset existing situations, of the mean-variance-skewness (MVS) optimization model subject to mean-sknewness-normalization constraints for portfolio selection. The efficient frontier...

We consider a portfolio optimization problem in a Black-Scholes model with n stocks, in which an investor faces both fixed and proportional transaction costs. The performance of an investment strategy is measured by the average return of the corresponding portfolio over an infinite time horizon....