Although finance practitioners almost universally learn in school that the Sharpe market
model, which separates all returns into alpha and beta, is the starting point for a number of …

Some argue that greed is good. They have a point. Greed certainly makes the engine of the
economy hum. Like Adam Smith, I would rather get my dinner from a merchant acting in his …

Abstract The Ontario Municipal Employees Retirement System (OMERS) is one of Canada's
largest pensions. Many pensions, OMERS included, face uncertainty due to demographics …

In the model of asset appreciation advanced here, the market economy and the market of
asset claims on the economy are modeled as organic (or exponential growth) processes …

Asset or security returns are an example of phenomena whose distributions still cannot be
convincingly modeled in a parametric framework. James R.(Jim) Thompson (1938–2017) …

A financial collapse is rarely foreseen and tends to occur while things are going well. It tends
to occur with a heavily indebted private sector because, as sentiment is so high, debt is used …

Based on the ground-breaking 1986 study by Brinson, Hood and Beebower, it has been a
commonly held belief for over a decade that asset allocation explains more than 90 percent …

Financial advisors often prescribe a higher allocation to stocks and other risky securities for
investors with long-term horizons. The usual justification is the notion that stocks are safer …

This paper reviews the time diversification controversy—whether risk increases or
decreases as the investment horizon lengthens. Using stock returns from 1926 through …

Danke meinen Arbeitgebern und Vorgesetzten, die mir eine Teilzeittätigkeit und damit die
Arbeit an dieser Dissertation ermöglichten. Besonders hervorheben möchte ich in diesem …