This collection of articles in investment and portfolio management spans the thirty-five-year collaborative effort of two key figures in finance. Each of the nine sections begins with an overview that introduces the main contributions of the pieces and traces the development of the field. Each...

Traditional portfolio theory stated that diversified portfolio is optimised regarding returns. It can generate the highest return with relatively lowest risk. Market risk cannot be diversified, so the most intelligent approach is to buy and hold assets in the long run. Therefore, the market...

This article explores the influence of competitive conditions on the evolutionary fitness of risk preferences, using the professional competition between fund managers as a practical example. To explore how different settings of competition parameters, the exclusion rate and the exclusion...

This article explores the influence of competitive conditions on the evolutionary fitness of different risk preferences. As a practical example, the professional competition between fund managers is considered. To explore how different settings of competition parameters, the exclusion rate and...

This study applies financial portfolio theory to determine efficient electricity-generating technology portfolios for the United States and Switzerland, adopting an investor point of view. Expected returns are defined by the rate of decrease of power generation cost (with external costs...

This study applies financial portfolio theory to determine efficient electricity-generating technology mixes for Switzerland and the United States. Expected returns are given by the (negative of the) rate of increase of power generation cost. Volatility of returns relates to the standard...

Collective investments have become a very popular investment vehicle in South Africa because it is, among other things, transparent, liquid and easily accessible. Growing investor knowledge, good market returns and its suitability for diversification, which minimizes risk, also contributes to...

A rational-expectations equilibrium with positive demand for financial information does exist under fully revealing asset price - contrary to a wide-held conjecture. Generalizing the common additive signal-return model with CARA utility to the family of distributions with moment generating...

Climate risk is particularly burdensome to small-scale farmers in developing countries due to heavy dependence on natural resources, limited and erratic rainfall with high inter- and intra-annual variability, and other natural calamities. Numerous studies on climate change suggest that climate...

In this paper the class of Lower Partial Moments (LPMs) is used for measuring vulnerability as downside risk of household income in rural Cameroon. This class of established and coherent risk measures has been shown to meet a number of desirable properties. Among others, the LPMs fulfill the...