Investors in mutual funds appear to reward disproportionately the best performing funds with large inflows while, at the same time, avoid to withdraw similar amounts from the poorly managed funds. We show that this peculiar flat-convex shape of the flow-performance curve for mutual funds can be...

To test for the adaptive optimization of risk attitudes, we use a simple model of preferences among lotteries, where agents evolve with a Genetic Algorithm. We find that the genetic selection operator are fundamental in determining the outcomes of the simulations, along with the possibility of...

Market segmentation is a fundamental topic of marketing theory and practice. We bring some market segmentation concepts into the statement of an advertising and production problem for a seasonal product with Nerlove-Arrow's linear goodwill dynamics, along the lines of some analyses concerning...

In this note using the rules of stochastic dominance of the second order and the recent cumulative prospect theory for classified, according to their performance, a set of common funds. The criteria used are closely linked to the preferences of decision maker and refer to either hypothesis of...

Comovements among asset prices have received a lot of attention for several reasons. For example, comovements are important in cross-hedging and cross-speculation; they determine capital allocation both domestically and in international meanÐvariance portfolios and also, they are useful in...

There exist necessary and sufficient conditions on the generating functions of the FGM family, in order to obtain various dependence properties. We present multivariate generalizations of this class studying symmetry and dependence concepts, measuring the dependence among the components of each...

We study S-shaped utility maximization for the standard portfolio selection problem with one risky and one risk-free asset. We derive a mean-variance criterium of choice, which preserves reference dependence and the reflection effect. Subsequently, we study diversification possibilities and...

In this paper a set of desirable properties for measures of positive dependence of ordered n-tuples of continuous random variables (n = 2) is proposed and a class of multivariate positive dependence measures is introduced. We consider the comonotonicity dependence structure as the strong...

This contribution presents a network of interdependent firms in which the spatial diffusion of the business relations is described by an entropy spatial interaction model. This network is used in a credit risk model in order to take into account the counterparty risk and describe the resulting...

We compare price dynamics of different market protocols (batch auction, continuous double auction and dealership) in an agent-based artificial exchange. In order to distinguish the effects of market architectures alone, we use a controlled environment where allocative and informational issues...