Our understanding of the long-term return behavior and portfolio characteristics of public infrastructure investments is limited by a relatively short history of empirical data. We re-construct U.S. listed infrastructure index returns by mapping their monthly performance to received systematic...

This paper focuses on the estimation and implementation of a holistic quantitative yield-curve-based approach to managing multi-currency bond portfolios. The primary task of the presented model is to manage the portfolio risk and return by exploiting inefficiencies in the emergent complexity of...

This paper examines the dependence structure between European Union allowances (EUAs) and crude oil markets during the second commitment period of the European Union Emissions Trading Scheme and the implications for portfolio management. Using different copula models, our findings suggest...

Ratios that indicate the statistical significance of a fund's alpha typically appraise its performance. A growing literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets or trading frequently can significantly enhance...

Loss aversion has been used to explain why a high equity premium might be consistent with plausible levels of risk aversion. The intuition is that the different utility impact of wealth gains and losses leads loss-averse investors to behave similarly to investors with high risk aversion. But if...

This research addresses an important problem in finance, which is the portfolio selection and management problem. Modern portfolio theory and Markowitz efficient frontier start with a set of assets (securities) and generate an optimal weight combination for the optimal risky portfolio that lies...

The empirical financial literature has recently suggested that the US stock market might be efficient in bad times and inefficient in good times. This article explains why some psychological phenomena such as wishful thinking, overconfidence and the house money effect might cause deviations from...

As the crucial mainstay for insurance industry to survive and develop, the insurance investment enables insurance companies to offset their possible underwriting losses and make a considerable profit. There have been many issues that affect the investment of Nigeria insurance companies. These...

The French investment fund industry is one of the biggest in the euro area. In response to the crisis and regulatory changes, money market funds have adjusted the structure of their portfolios, increasing the share of securities issued by financial institutions at the expense of those issued by...

Downside loss-averse preferences have seen a resurgence in the portfolio management literature. This is due to the increasing use of derivatives in managing equity portfolios and the increased use of quantitative techniques for bond portfolio management. We employ the lower partial moment as a...