This paper investigates the farm level impacts of multiple peril yield and revenue insurance in an expected value-variance framework. The analysis is conducted using stochastic simulation jointly with numerical optimisation. Simulation is used to compute the means and variances of revenues as...

Since its first appearance, The Markowitz model for portfolio selection has been a basic theoretical reference, opening several new development options. However, practically it has not been used among portfolio managers and investment analysts in spite of its success in the theoretical field....

This paper analyses whether Z-score, as examined by Altman and other researchers, can predict correctly company failures. The empirical analysis concentrates on the construction companies listed in Athens Exchange, for the period 1995-2006, which coincides with significant construction activity...

In this article we attempt to expand the limited framework of single-objective optimisation and broaden Markowitz's market standard, within which the problem of portfolio selection is conventionally addressed. The decision maker's Investment Policy Statement (IPS) is formulated through a...

Modern portfolio theory suggests that the best strategy to reduce portfolio risk is to diversify internationally rather than nationally. However, despite the gains from international portfolio diversification investors still overweight their portfolios with the domestic assets. This is referred...

Research suggests that informational differences, including familiarity with domestic securities, underlie home equity bias. We suggest that home bias can arise more subtly. The bias may simply occur because individuals are more comfortable with domestic companies, irrespective of information or...

In theory, investors choosing to invest only in socially responsible entities restrict their investment universe and should thus be penalized in a mean-variance framework. When computed, this penalty is usually viewed as valid for all socially responsible investors. This paper shows however that...

In theory, investors choosing to invest only in socially responsible entities restrict their investment universe and should thus be penalized in a mean-variance framework. When computed, this penalty is usually viewed as valid for all socially responsible investors. This paper shows however that...

This paper presents a comparison of three portfolio selection models, Mean-Variance (MV), Mean Absolute Deviation (MAD), and Minimax, as applied to the Brazilian Stock Market (BOVESPA). For this comparison, we used BOVESPA data from three different 12 month time periods: 1999 to 2000, 2001, and...

We examine the continuous time portfolio selection problem involving limit orders; we show that this problem reduces to the corresponding problem without limit orders.