This is the second of a series of four articles on Common Good adapted from the author's doctoral dissertation. This article starts from the three variables in the morality construct in the Catholic Magisterium to review the current related business literatures; their debates and weakneses of...

Traditional portfolio optimization models specify placement of capital as rather irrevocably and fully at risk through investment horizon(s) or continuously. Under this constraint, asset class allocation typically serves as primary mode of diversification, pursuing risk moderation by seeking to...

From the painful unwinding of the S&L crisis to the onset of the most recent recession, equity and bond-friendly secular declines in interest and inflation rates gave the investing masses license to stretch Markowitz's Modern Portfolio Theory beyond its contextual foundations and to extrapolate...

Systematic trading is a method that is currently extremely popular in the investment world. The testing of systematic trading rules is usually done through backtesting and is at high risk of spurious accuracy as a result of the data-mining bias (DMB) present from testing multiple rules...

I present evidence of systematically heterogeneous expectations, a violation of the Rational Expectations Hypothesis. I demonstrate that the expectations of different gender and wealth cohorts have different relative abilities to predict inflation, interest rates, unemployment, income, stock...

A prominent problem in actuarial science is to define, or describe, premium calculation principles (pcp's) that satisfy certain properties. A frequently used resolution of the problem is achieved via distorting (e.g., lifting) the de-cumulative distribution function, and then calculating the...

This paper studies the behavior of corporate bond indices. We find that a 2-factor model with unobservable factors is adequate in capturing the variation of corporate bond portfolio returns, however we cannot identify any linear regression model with observable variables that would be able to do...

This paper addresses the issue of building a repeat sales index based on explanatory factors. An earlier paper (Baroni, Bartheacute;leacute;my, and Mokrane, 2004), built a factorial index based on a selected linear function of economic and financial variables. Here, a more general and robust model...

We provide some new tools to evaluate trading strategies. When it is known that many strategies and combinations of strategies have been tried, we need to adjust our evaluation method for these multiple tests. Sharpe Ratios and other statistics will be overstated. Our methods are simple to...

The present study investigate the relationship between sensex returns and Indian-USD Exchange rates and the impact of the time series on each other. Exchange rate fluctuation will effect international trades, thus influence the stock market. The study is based on the secondary sources obtained...