We determine the importance of long-term and short-term components of state variables for asset allocation decisions. The long-term and short-term decompositions are performed using a variety of filtering techniques. We allow for a flexible semiparametric form of the dependence of asset...

In this paper we �first develop a theory of almost stochastic dominance for risk-seeking investors to the first three orders. Thereafter, we study the relationship between the preferences of almost stochastic dominance for risk-seekers with that for risk averters.

This study examines the relationship between financial liberalization and the advent probability of banking crises because of institutional quality. We used a logit panel data for a sample of fifty developing countries during the period (1990-2014). The results show that there is a positive...

The paper empirically analyzes stock market integration and the benefit possibilities of international portfolio diversification across the Southeast Asia (ASEAN) and U.S. equity markets. It employs daily sample of 6 ASEAN equity market indices and S&P 500 index as a proxy of U.S. market index...

In light of the unprecedented developments in the financial sectors of developed economies in the years 2008-2009 and in view of the current political Arab upheaval, this paper reviews the pros and cons of financial integration of the South-Mediterranean region. Our analyses includes Morocco,...

Considering the hypothesis of opposite strategy or overreaction in stock prices, this research deals with this type of the market’s anomaly through an econometric analysis, which aims to get more explanatory model of the overreaction in the Brazilian capital market. The procedure was to...

This paper aims to test the hypothesis of abnormal returns from the strategy of investing in shares with lower Price/Value Ratio (PVPA) in the Brazilian capital market. All the shares negotiated in the Sao Paulo Stock Exchange (Bovespa) from 1994 to 2006 were used, and formed 6 portfolios...

This article presents the initial stages of a new evaluation framework for choosing among retirement income strategies. The investigation includes eight retirement income strategies: constant inflation-adjusted withdrawal amounts, a constant withdrawal percentage of remaining assets, a...

This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...

An optimal asset allocation is crucial for non-life insurance companies. The most previous studies focused on this topic use a mono-objective technique optimization. This technique usually allows the maximization of shareholders’ expected utility. As non-life insurance company is a complex...