Much of the literature on the construction of mixed asset portfolios and the case for property as a risk diversifier rests on correlations measured over the whole of a given time series. Recent developments in finance, however, focuses on dependence in the tails of the distribution. Does...

We examine two performance measures advocated for asymmetric return distributions: the Sortino ratio—originally introduced by Sortino and Price (Sortino F and Price L 1994 J. Investing 59-65)—and a measure based on power utility introduced in Leland (Leland H 1999 Financial Analysts J....

A number of volatility forecasting studies have led to the perception that the ARCH- and Stochastic Volatility-type models provide poor out-of-sample forecasts of volatility. This is primarily based on the use of traditional forecast evaluation criteria concerning the accuracy and the...

We derive and estimate the optimal disbursement from an infinitely-lived charitable trust with an Epstein-Zin-Weil utility function, given general Markovian returns to wealth. We analyze two special cases: where spending is a power function of last period's wealth and the endowment uses 'payout...

This research studies the propensity of individuals to violate implications of expected utility maximization in allocating retirement savings within a compulsory defined contribution retirement plan. The paper develops the implications and describes the construction and administration of a...