Researchers studying the asset allocation problem for long-term investors have employed different investor criterion functions. Some analyses have been based on maximization of expected utility. The most commonly used utilities are quadratic utility, which yields the ubiquitous mean-variance...

The presence of a positive intercept (quot;alphaquot;) in a regression of an investment fund's excess returns on a broad market portfolio's excess return (as in the CAPM) and other quot;factorquot; portfolios' excess returns (e.g. the Fama and French factors) is frequently interpreted as...

This paper provides an alternative behavioral foundation for an investor's use of power utility in the objective function and its particular risk aversion parameter. The foundation is grounded in an investor's desire to minimize the objective probability that the growth rate of invested wealth...

Much textbook emphasis is placed on the mathematical notion of expected return and its historical estimate via an arithmetic average of past returns. But those wanting to forecast a typical future cumulative return should be more interested in estimating the median future cumulative return than...

Nonprofit, mutually owned insurance and banking organizations have significant market shares in the insurance and banking industries. A first step in a systematic study of these financial mutuals is to examine the reasons for their formation. Doing so provides empirical support for the view that...

Some asset allocation advice for long-term investors is based on maximization of expected utility. Most commonly used investor utilities require measurement of a risk-aversion parameter appropriate to the particular investor. But accurate assessment of this parameter is problematic at best....

This paper provides an alternative behavioral foundation for an investor's use of power utility in the objective function and its particular risk aversion parameter. The foundation is grounded in an investor's desire to minimize the objective probability that the growth rate of invested wealth...

This paper models the behavior of a fund manager who selects a portfolio strives to maximize the probability of outperforming an investor-designated benchmark portfolio, on-average, over an uncertain length of time. Surprisingly, the analysis shows that the manager should act as-if she maximizes...

When used to price popular bond futures options, the Black model is subject to a moneyness bias similar to the Black-Scholes stock index option bias. It is shown that a suitably modified version of Stutzer's canonical stock option pricing model (Stutzer, J.Finance, 1996, 1633-52 ) also helps...