We introduce and solve a new class of quot;downward-recursivequot; static portfolio choice problems. An individual simultaneously chooses among ranked stochastic options, and each choice is costly. In the motivational application, just one may be exercised from those that succeed. This often...

Based on the Partial Distribution (Feng Dai, 2001), a new model to price an asset (MPA) is given. Going a step further, this paper puts forward the Multivariate Partial Distribution (MPD) for the first time. By use of MPD, we could gain a new kind of model for pricing the group assets (MPGA), in...

This Article looks at mutual funds, hedge funds, and similar financial instruments as making up a single market - one whose operation is potentially marred by flawed investor decision-making born of imperfect information and bounded rationality. The piece then analyzes whether the current...

Retirees face longevity risk, or the risk of living longer (or less long) than expected; market risk, or the risk of poor investment returns over the retirement horizon, and finally; failure risk, or the risk of running out of money before death. The authors examine the sensitivity of these three...

Managed volatility strategies adjust market exposure in inverse relation to a risk estimate, to stabilize realized portfolio volatility through time. Our paper examines strategy performance from an investment practitioner perspective. Using long-term data from the Standard & Poor's 500, we show...

The VaR (Value at Risk) concept has emerged back in 1994 when JP Morgan started routinely using it in its daily reporting. Simply said, it represents a lower bound of large rare losses. The VaR metric became an industry standard for measuring market risk because it is intuitive and easy to...

A considerable theoretical and empirical literature studies the corporation's capital structure. Economists have paid less attention to capital structure in other enterprise forms such as partnerships, which typically operate under different legal constraints and appeal to smaller enterprises....

The aim of this paper is to assess the effectiveness and risk in the stock exchange market in Central and Eastern Europe countries (CEE) in view of the largest stock exchanges: NYSE2‑LSE‑HKSE2. The implementation of this objective was based on an analysis of basic stock market indicators and...

This paper proposed an optimisation mechanism in the currency overlay portfolios construction process, an area that has not been explored in the literature that tend to focus on pre-determined fixed weights, such as the trading volume of currencies from the survey of the Bank for International...