Traditional portfolio optimization models specify placement of capital as rather irrevocably and fully at risk through investment horizon(s) or continuously. Under this constraint, asset class allocation typically serves as primary mode of diversification, pursuing risk moderation by seeking to...

From the painful unwinding of the S&L crisis to the onset of the most recent recession, equity and bond-friendly secular declines in interest and inflation rates gave the investing masses license to stretch Markowitz's Modern Portfolio Theory beyond its contextual foundations and to extrapolate...

In finance, decision making and choice requires that we assume that asset prices tend to trend. This assumption also logically enables us to construct exits to limit losses and protect capital. But investors have good reason to be uneasy regarding the potential for significant loss when using a...

Fantasy Pitching V follows in the footsteps of four earlier fantasy pitching exercises: Faff, Ali, et al. (2016); Faff, Wallin et al. (2016); Faff, Carrick, et al (2017) & Faff, Baladi, et al (2017). Like all prior versions, the current paper challenges teams of novice researchers to use the...

The current paper outlines two applications of ‘Pitching Research' (Faff, 2015 & 2017a) designed to help readers and researchers better understand and describe academic literature. ‘Reverse Engineering' is a concept explored by previous student scholars at The University of Queensland (Faff...

Faff’s (2015; 2021) “Pitching Research” framework (PRF) is built on a research planning tool that challenges (novice) researchers to productively communicate their prospective research ideas to academic field experts. The framework gives you a total communication budget of 1,000 words ± 20%,...

In this paper, I explain the What, Why, How, Who, and When of the IGPRC2023. In brief … First, What? Following on from the great success of the inaugural InSPiR2eS Global Pitching Research Competition (IGPRC) event in 2021-22, founded on Faff’s (2015, 2021) Pitching Research Framework (PRF),...

Romanian Abstract: Costurile pot reprezenta un aspect important al deciziilor din afaceri. Cunoaşterea principalelor componente ale costurilor poate fi utilă în planificarea financiară. În plus, comparaţia dintre costul şi preţul unui produs facilitează studiul profitabilităţii...

An information transaction entails the purchase of information. Formally, it consists of an information structure together with a price. We develop an index of the appeal of information transactions, which is derived as a dual to the agent's preferences for information. The index of information...

Consider any investor who fears ruin facing any set of investments that satisfy no-arbitrage. Before investing, he can purchase information about the state of nature in the form of an information structure. Given his prior, information structure 'a' is more informative than information structure...