Investors need performance measures particularly as a means for funds selection in the process of exante portfolio optimization. Unfortunately, there are various performance measures recommended for different decision situations. Since an investor may be uncertain which kind of decision problem...

An intersection-union test for supporting the hypothesis that a given investment strategy is optimal among a set of alternatives is presented. It compares the Sharpe ratio of the benchmark with that of each other strategy. The intersection-union test takes serial dependence into account and does...

Based on German government bond yields, this paper analyses the performance of laddered strategies during a period of low interest rates. Relying on the REX, Germany"s leading bond index, laddered cash flows are created, and maturity structures are systematically changed. A constructed rolling...

We analyze the financial portfolio performance of Belgian households, using data from the 2010, 2014 and 2017 waves of the Household Finance and Consumption Survey survey. We document the characteristics of households that participate in risky asset markets, and we examine which households...

This study examines the performance of fifty global exchanged-traded funds (ETFs) traded on US stock exchanges. Specifically, it refers to the period following the end of quantitative easing, which took place in 2014. Therefore, the data, on which the study is based, refer to the period from...

We investigate whether sovereign bond holdings of European banks are determined by a risk-return trade-off. Using data between 2011 and 2018 for 75 European banks, we confirm that banks exhibited risk-taking behavior during the sovereign debt crisis, e.g., due to moral suasion. In the period...

We propose the outperformance probability as a new performance measure, which can be used in order to compare a strategy with a specified benchmark, and develop the basic statistical properties of its maximum-likelihood estimator in a Brownian-motion framework. The given results are used to...

This paper develops a dynamic portfolio selection model incorporating economic uncertainty for business cycles. It is assumed that the financial market at each point in time is defined by a hidden Markov model, which is characterized by the overall equity market returns and volatility. The risk...

This work explores the impact of 'Studentification' of a neighborhood on the profitability of investment in the housing market. The study breaks down the impact of students on the housing market into two areas: apartments for sale and apartments for rent. The Israeli housing market provides the...

The specification of prior parameters is a common practical problem when implementing Bayesian approaches to portfolio optimization. The precision parameter of the prior on the expected asset returns reflects the confidence of the investor in the prior knowledge. Within the framework of the...