The outlook for the U.S. Social Security system is poor. Benefit schedules that assure solvency probably require (1) politicians to give up power they are unwilling to give up, and (2) workers to contribute more of their future production than they are willing to. In contrast, the outlook for...

The usefulness of economic value added (EVA) in forecasting stock performance has been widely debated, and there is much disagreement. This paper examines empirically whether a high adjusted EVA, both scaled by market capitalization, can produce excess stock returns. We find that the...

Risk-neutral valuation is used to value a portfolio and decompose it into the components accruing to its stakeholders. The analysis incorporates managers' expected performance and contract renewal issues. A managed portfolio's economic value is shown to differ from its net asset value. A better...

We use risk-neutral valuation to value a portfolio and decompose the value into the components accruing to its stakeholders - service providers, portfolio managers, and the owners. The analysis incorporates managers' expected performance and contract-renewal issues. It provides a paradigm for...

Ferguson and Leistikow [(1997). Journal of Financial Engineering 6, 1–30] (FLa) was the first long-run risk-neutral analysis of the performance volatility incentives created by investment management fee structures. This paper extends FLa in six ways. It allows the portfolio's value to change,...

A few security analysts engaged in quantitative analysis long before computers became readily available. This study presents an example dating from 1972. An analyst examined the fixed cost–variable cost structure of General Motors by creating a nonlinear algebraic model, transforming the model...

The insurance business is fraught with problems for which, in many insurance lines, a solution that is acceptable to consumers and leaves the insurance business viable is not likely. We analyze the factors that create this situation. Consumers often view economically viable premiums as too high....

Upside and downside capture ratios are used to assess the quality of investment managers and investment strategies. We propose a theoretical model which predicts that the upside capture ratio is an increasing function of the measurement interval length and that the downside capture ratio is a...

Legislators, regulators, and academics are insisting that the brokerage industry unbundle by separating investment research fees from trading. They also want to foster market efficiency. These two positions are at odds unless investment research is subsidized

Wall Streeters know that performance varies from one time interval to another, that there are a semi-infinite number of time intervals, and that there are always many such periods with plausibly good performance. Wall Streeters also know that various computations of performance give different...