An assumption of symmetric asset returns, together with globally risk averse utility functions, is unappealing for fund managers and other activist investors, whose preferences switch between risk aversion on the downside and risk seeking on the upside. A performance return criterion is...

An exact estimation of the true correlation matrix is highly desirable in many applications. In practice there will always be an estimation error which, however, can be not only minimized using the shrinking approach but also an invertible correlation matrix can be calculated when there are...

Financial regulators can enhance the credibility of credit ratings if agencies are offered a registration facility that sequesters part of their fee as a performance bond over a designated maturity. The margin can be responsive to the rating, the defined credit event, and the registration...