This paper studies the properties of the continuous double auction trading mechanishm using an artificial market populated by heterogeneous computational agents. In particular, we investigate how changes in the population of traders and in market microstructure characteristics affect price...

Recent asset pricing studies demonstrate the relevance of incorporating the coskewness in Asset Pricing Models, and illustrate how this component helps to explain the time variation of ex-ante market risk premiums. This paper analyzes the role of coskewness in mutual funds performance...

Some researchers and many practitioners have move from the classic mean-variance (Markowitz, 1959) portfolio theory to a new portfolio optimization framework based on downside-risk measures that are more appropriate to the investor’s preferences. Moreover, several studies (Friedman and...

This study analyses, from an investor's perspective, the performance of several risk forecasting models in obtaining optimal portfolios. The plausibility of the homoscedastic hypothesis implied in the classical Markowitz model is dicussed and more general models which take into account assymetry...