In this paper, we present a multicriterion approach of portfolio comparison and apply it to the selection of a global index fund portfolio using sixteen (16) national stock market indexes. The first algorithm used in the study (ELECTRE IS) solves for the subset of portfolios among which the...

This paper examines the determinants of the "bid-asked" spread on the Canadian option market and evaluates their relative importance. It also sheds some light on the interrelationship between the "bid-asked" spread of options and that of their underlying securities in order to determine if the...

In this paper we take a new approach to the study of the interrelation between stock and option markets by extending Stoll's (1989) model of cost components of the bid-ask spread to include an error component in prices. Building upon Stoll's estimates of the probability of price reversals, we...

One approach that is gaining in popularity among portfolio managers uses ethical ratings, published by specialized research organizations, to screen securities for portfolio selection. Portfolio managers can thus gain a better understanding of the phenomenon and adopt a better and more...

This paper applies a game theory approach to examine the effects of a market structure change in options trading from a monopoly to a Cournot-type oligopoly that occurred in two successive periods on the Montreal exchange. We analyze the intra-day behaviour of option bid-ask spreads and find...