We propose a method for optimal portfolio selection built on the Black and Litterman model and with two major contributions. We introduce in the investors' objective function a risk measure named expected tail loss, which is useful in portfolio selection context as it supports the benefi ts of...

OBJECTIVES This research aimed to verify the performance of the Volatility Timing (VT) and Reward to Risk Timing (RRT) models of portfolio selection when compared with the Naïve and Mean-Variance ones, applied to the Brazilian stock market.METHODOLOGYThe methodology consists in applying the VT,...

Does active management add or destroy value? With a sample of 699 with four different main categories: stocks, fixed income, hedge and exchange rate mutual funds we conclude that the active management add value to investors in stocks and hedge funds. But in fixed income mutual funds the evidence...