Many financial institutions employ outside portfolio managers to manage part or all of their investable assets. It is well recognized that outside portfolio managers are unwilling to share security information with each other or with the centralized decision maker and this in general will lead...

This paper examines the accuracy of forecasts produced by mechanical forecasting techniques and three groups of analysts. The nine mechanical forecasting techniques are variations of exponentially weighted moving averages, naive models, simple moving averages, and regressions. One-, two- and...

An erratum to "On the maximization of the geometric mean with lognormal return distribution", Management Science, Vol. 21, No. 4 (December 1974), pp. 489-494.

It is generally believed that security prices are determined by expectations concerning firm and economic variables. Despite this belief there is very little research examining expectational data. In this paper we examine how expectations concerning earning per share effect share price. We first...

In this paper we discuss the relevancy of the geometric mean as a portfolio selection criteria. A procedure for finding that portfolio with the highest geometric mean when returns on portfolios are lognormally distributed is presented. The development of this algorithm involves a proof that the...

Portfolio theory is a well-developed paradigm. There are excellent textbooks on the subject. Of course, we are especially partial to our own

In a recent article in this journal, Canner, Mankiw and Weil (CMV) argue that in general popular investment advice, and in particular the investment advice of four investment advisors, is inconsistent with modern portfolio theory and is irrational. As CMV state, since portfolio theory is so well...

Results of recent research indicate small investor sentiment, as measured by the change in the discount on closed-end funds, is an important factor in the return generating process for common stocks. We find no evidence of it being an important factor in the return generating process. We next...