This paper develops two models of the money marketmutual fund maturity decision. The first assumes thatmarkets are efficient but that transactions are costly. Thesecond model relies on a survey of fund managers to selectvariables that might permit exploiting perceivedprofit opportunities....

Most asset pricing models postulate a positive relationship between a stock portfolio's expected returns and risk, which is often modeled by the variance of the asset price. This paper uses GARCH-in-mean models to examine the relationship between mean returns on a stock portfolio and its...

Public employee and teachers' retirement systems that employ CFA charterholders pay lower total investment fees. Overall, the authors conclude that savings produced by employing CFA charterholders as investment professionals in terms of total investment management expenditures at public employee...

This paper presents the performance of seven portfolios created using clustering analysis techniques to sort out assets into categories and then applying classical optimization inside every cluster to select best assets inside each asset category.The proposed clustering algorithms are tested...

We develop a novel ranking methodology to rank the market forecaster. In particular, we distinguish forecasts by their specificity, rather than considering all predictions and forecasts equally important, and we also analyze the impact of the number of forecasts made by a particular forecaster....

Korean Abstract: 자본충실도가 높은 은행이 고위험-고수익 사업에 투자하여 부실화될 수 있는 가능성은 은행이 론의 주요한 연구 대상이 되어 왔다. 만약 자본충실도가 높은 은행의 투자위험과 파산확률이 더 높다면, 이는...

Korean Abstract: 이 글은 금융위기 이후 바젤위원회에서 추진한 금융규제개혁 과제 중에서 은행 자본규제체계의 재설계와 관련한 부분을 살펴보는 것을 목적으로 하였다. 바젤위원회는 규제자본의 질, 일관성 및 투명성의...

Finance cannot become a rigorous science (in the Popperian or Lakatosian sense), however it can still operate as an “industrial science”. This article describes the scientific method by which industrial finance discovers through experimentation, and avoids false discoveries

This paper introduces the Hierarchical Risk Parity (HRP) approach. HRP portfolios address three major concerns of quadratic optimizers in general and Markowitz's CLA in particular: Instability, concentration and underperformance.HRP applies modern mathematics (graph theory and machine learning...

Financial economics is a surprisingly prolific, topic redundant, asocial field, where most papers go largely ignored. Author collaboration improves scientific output, and yet financial economics seems to be one of the least cooperative empirical fields. If these trends continue, financial...