Using analysts' stock recommendations this paper shows gender heterogeneity in investment advice. The odds for female financial analysts to issue optimistic recommendations are much lower than the odds for male analysts. However, an investor cannot profit from the observed gender differences....

I collect a registry-based dataset on the personal portfolios of Swedish mutual fund managers. The managers who invest personal money in the very same funds they professionally manage outperform the managers who do not. The main results are consistent with a Berk and Green (2004) equilibrium in...

Contrary to static mean-variance analysis, very few papers have dealt with dynamic mean-variance analysis. Here, the mean-variance efficient self-financing portfolio strategy is derived for n risky assets in discrete and continuous time. In the discrete setting, the resulting portfolio is...

Many investors purchase open-end mutual funds through intermediaries, paying brokers and financial advisors for fund distribution and advice via alternative sale charge fee structures. We argue that the fee structure choice reveals valuable information about investors horizon. That allows...

I collect a registry-based dataset on the personal portfolios of Swedish mutual fund managers. The managers who invest (a lot of) personal money in their own funds generate positive abnormal returns. Some managers are betting on their best ideas by investing personal money in individual...

Investment fund managers make asset allocation decisions on behalf of a significant segment of US households. To elucidate the incentives they operate under, as well as the income and career risks they face, we construct a unique and novel dataset, which encompasses detailed information on the...

The insurance linked securities (ILS) market is an increasingly important alternative asset class for which risk and return analysis differs from other asset classes. Measures of portfolio risk and return for an ILS portfolio are based on the expected losses and expected excess returns over the...

A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with several portfolios (or subsidiaries), representing both liabilities and assets, it is proved that the model has...

On 21 December 2006, the China Insurance Regulatory Commission (CIRC) announced a new draft version of the provisional measures on administering outbound portfolio investment of insurance funds. China has seen a rapid increase in premium income in recent years, while the domestic investment...

Along with the ongoing effort to build market cap-independent portfolios, the authors explore the properties of Diversification as a driver for portfolio construction. They introduce a measure of the diversification of portfolios that they term the “diversification ratio”. The measure is...