This paper examines and compares the constant mix and buy-and-hold portfolio strategies. To this end, we examine and illustrate their performances using various criteria such as comparison of their payoffs, basic properties of their return cumulative distribution functions and their performances...

In this article, we show that performance attribution considered alone can be misleading. Indeed, a portfolio manager who knows perfectly the distribution of asset's returns and who performs a relative portfolio optimization according to that information, may be penalized in some of her choices...

Research has shown that adding constraints to total portfolio volatility can substantially improve the performance of managed portfolios. Although other work has considered constant tracking-error volatility frontiers, in this study tracking error was allowed to vary but the risk aversion was...

This paper examines some properties of portfolio insurance that are linked to the risk aversion and the prudence of the investor. We provide explicit conditions to measure portfolio sensitivity to downside risk. We also characterize the degree of portfolio insurance by means of the ratio of...

This paper examines the equilibrium of financial portfolios under insurance

As emphasized by the U.S. Dodd-Frank Act and the European MiFID directive, financial institu-

We analyze the performance of the two main portfolio insurance methods, the OBPI and CPPI strategies, using downside risk measures. For this purpose, we introduce Kappa performance measures and especially the Omega measure. These measures take account of the entire return distribution. We show...

This article proposes a transactional analysis of the performance of international joint ventures formed in mainland China and Taiwan. This analysis is carried out for a sample of 104 Chinese partners who, between January 2000 and December 2003, announced the formation of an international joint...