A two-stage stock valuation model derived from Wilcox's (1984) P/B-ROE approach is shown to be a surprisingly effective tool for a broad variety of uses, including the explanation of current prices and the prediction of future return differences. This applies both to the cross-section of...

As Dutch investors add international securities to their portfolios, it becomes important to understand and evaluate both the benefits of diversification and management of the associated currency exposures. According to the analytical framework developed here, three conclusions are primary....

As defined benefit pensions have been replaced by investor-directed defined contribution plans, implementing sound investment policies for retail investors of modest means has become a problem of increasing urgency. This group comprises most of the investor population across all countries. In...

Despite portfolio construction based on expected utility theory and Markowitz mean-variance optimization having been the foundation of financial economic theory for more than 50 years, its practical application by financial advisors has been limited. Particularly troubling are the lack of a...

Many investors have been disappointed with the practical results of portfolio insurance programs, which attempt to achieve option‐like results through dynamic hedging. This article takes the simplest form of dynamic hedging, constant proportion portfolio insurance (CPPI), as a model for...