We analyze a large database of psychometrically derived financial risk tolerance scores
(RTS) and associated demographic information. We find that people's self-assessed risk …

Despite the widespread use of information ratios to gauge the performance of active money
managers, confusion persists over how to calculate an information ratio, how to interpret it …

This paper proposes the nonnegative-lasso method for variable selection in high
dimensional sparse linear regression models with the nonnegative constraints on the …

We investigate whether the same finite dimensional dynamic system spans both interest
rates (the yield curve) and interest rate options (the implied volatility surface). We find that …

This paper deals with the model selection consistency of Nonnegative Elastic Net (proposed
by imposing nonnegative constraint to the regression parameters) in general setting where p …

This study investigates the predictive power of informed traders' activities in stock price
movements by employing neural networks. Specifically, we examine whether informed …

In this chapter, we briefly review basic competitive facilities location models and discuss
many extensions that have a stochastic component. Examples include the minimax regret …

We consider the optimality of portfolios not subject to short-selling constraints and derive
conditions that a universe of securities must satisfy for an optimal active portfolio to be dollar …

Above‐average risk tolerance is strongly associated with greater materialism, younger age,
and male gender, while a variety of characteristics comprising materialism, age, gender, and …

In this paper we consider a location model based on the threshold concept. We find the best
location such that the probability of revenue falling short of the threshold is minimized. This …