Investment ratings (e.g., by Morningstar) provide a simple ordinal scale (e.g., 1 to 5) for comparing investments. Typically, ratings are assigned within categories -- groups of assets sharing common characteristics -- but using the same ordinal scale for all groups. Comparing such categorized...

We review two complementary mixture-based clustering approaches for modeling unobserved heterogeneity in an insurance portfolio: the generalized linear mixed cluster-weighted model (CWM) and mixture-based clustering for an ordered stereotype model (OSM). The latter is for modeling of ordinal...

Financial product ratings are intended to summarize relevant information in a manner that assists in decision-making. Ratings, however, have the potential to be either helpful or harmful. Ratings are often assigned within categories; ratings across categories then may or may not be comparable....

Investment ratings (e.g., by Morningstar) provide a simple ordinal scale (e.g., 1 to 5) for comparing investments. Typically, ratings are assigned within categories — groups of assets sharing common characteristics — but using the same ordinal scale for all groups. Comparing such categorized...

It is widely believed that correlations between international equity markets tend to increase in highly volatile bear markets. This has led some to doubt the benefits of international diversification. This article solves the dynamic portfolio choice problem of a US investor faced with a...

Although international financial markets are highly integrated across the more well-developed countries, investors nevertheless hold portfolios that consist nearly exclusively of domestic assets. This violation of the predictions of standard theories of portfolio choice is known as the...