This paper simplifies, generalizes, extends, surveys and unifies results related to the efficient frontier in portfolio analysis and to asset pricing formulations of the Capital Asset Pricing Model (CAPM) type. It derives the composition and properties of many central portfolios in portfolio...

Los mercados de títulos soberanos cumplen varias funciones para los mercados decapitales. Son fuente de financiación para el gobierno que los emite, cumplen el rol deactivo libre de riesgo -de crédito- del mercado, al tiempo que sirven como referencia obenchmark para las diferentes...

In the context of the financial innovation of the last few decades, when we were faced with an important diversification of the financial instruments used on the capital markets, the ETFs are revolutionary financial products with a strong impact on the global investment environment. The unique...

Performance of investment managers are evaluated in comparison with benchmarks, such as financial indices. Due to the operational constraint that most professional databases do not track the change of constitution of benchmark portfolios, standard tests of performance suffer from the...

We consider an investment model where the objective is to overperform a given benchmark or index. We study this portfolio management problem for a long term horizon. This asymptotic criterion leads to a large deviation probability control problem. Its dual problem is an ergodic risk sensitive...

In recent years the popularity of indexing has greatly increased in financial markets and many different families of products have been introduced. Often these products also have a minimum guarantee in the form of a minimum rate of return at specified dates or a minimum level of wealth at the...

This paper examines the characteristics and the critical aspects of the Italian Asset management industry. It reports the results of interviews conducted with 21 mutual fund managers working in 10 of the most important Italian asset management companies.The focus is mainly on the relationship...

We introduce Longitudinal Factor Analysis (LFA) to extract the Common Risk Free (CRF) rate from a sample of sovereign bonds of countries in a monetary union. Since LFA exploits the typically very large longitudinal dimension of bond data, it performs better than traditional factor analysis...

2003 was a good year for the shareholders of the companies in the Euro Stoxx 50: the shareholder value creation of these 50 companies was €150,016 million. The companies that created most value for their shareholder were Siemens (€18,778 million), Telefonica (15,382) and BSCH (12,443). The...

2004 was a good year for the shareholders of the companies in the Euro Stoxx 50: the shareholder value creation of these 50 companies was €42,880 million. It was not as good as 2003, however, when their value creation reached slightly over €160,000 million. The companies that created most...