Murphy, Koehler, and Fogler [1997] gave in the last issue of the Journal of Portfolio Management an account of how to raise a neural net's IQ. The purpose of this reply is to point out some of the general difficulties with neural nets. Also, I would like to mention an alternative method, namely...

The central premise of the Black and Scholes [Black, F., Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy 81, 637-659] and Merton [Merton, R. (1973). Theory of rational option pricing. Bell Journal of Economics and Management Science 4, 141-184]...

This paper summarizes a program of research we have conducted over the past four years. So far, it has produced two published articles, one forthcoming paper, one working paper currently under review at a journal, and three working papers in progress. The research concerns the recovery of...

Pension funds only explored alternative assets quite recently, prodded by financial crises which devastated equity returns and led to low bond returns. We assess the addition of alternative assets to pension fund portfolios in terms of the total benefit derived from diversification, addition of...

We study the effect of discrimination against Jewish managers and owners on their firms' stock during the Third Reich. The stock of firms with Jewish managers underperformed by around 5% annually, with abnormal performance persisting on average for three years until firm "Aryanization." Firms...

We update the survey of the pricing kernel puzzle of Jackwerth (2004). We document the pricing kernel puzzle in several markets and present the latest evidence concerning its (non)existence. Econometric studies are detailed which test for the pricing kernel puzzle. Explanations of the pricing...

Starting with the fundamental relationship that state prices are the product of physical probabilities and the stochastic discount factor, Ross (2015) shows that, given strong assumptions, knowing state prices suffices for backing out physical probabilities and the stochastic discount factor at...

American options on the Samp;P 500 index futures that violate the stochastic dominance bounds of Constantinides and Perrakis (2007) from 1983 to 2006 are identified as potentially profitable trades. Call bid prices more frequently violate their upper bound than put bid prices do, while...

When an investor delegates portfolio management to a hedge fund manager, whose risk-taking preference governs? Single-period models with option-like incentives suggest stark variation in risk-taking across fund value and time as fund managers maximize their own well-being. Empirical validation...

This practical guide is for the PhD student in empirical financial economics. Tips range from finding and developing a research idea to collecting data to choosing programming languages and methods to writing a paper to presenting and publishing it