Passive index investing involves the low cost strategy of investing in a fund that replicates or, more often, tracks a market index. Enhanced indexation uses the returns of an index as a reference point and aims at outperforming this index. The intuition behind enhanced indexing is that market...

Because heterogenous and unknown shareholder utility functions make it difficult to define a corporate objective common to all shareholders based on utility, the traditional theory of the firm concentrates on wealth maximization as the main measure of performance. Using the concept of ranked...

We propose a theoretical framework for constructing a market proxy that corresponds to the ldquo;market portfoliordquo; of financial theory. We construct this proxy, analyze its determinants and test its efficiency and explanatory power over the period 1974-2003 with respect to the return...