We examine prospect theory portfolios in asset allocation settings that include riskfree
lending and borrowing, subject to margin constraints, and short sales restrictions on risky …

This paper examines whether optimal diversification strategies outperform the 1/N strategy
in UK stock returns. The study focuses on the performance of recent strategies developed by …

In this paper, we analyze the relative performances of pairs trading and cross-sectional
momentum (CSM) strategies by comparing their expected returns. It is shown that the …

Sažetak In this study, we attempt to verify if the funds constituting the (quasi) mandatory
capital pillar of the Polish pension system outperformed the market in the 2014–2016 period …

Several countries have banking policies geared towards providing access to credit to ethnic
or religious minorities, eg, India, China, Malaysia, South Africa, United States. In this paper …

Without short-sales constraints, mean-variance (MV) and power-utility portfolios generated
from historical data are often characterized by extreme expected returns, standard …

In this paper, we evaluate and rank the performance of 65 Canadian Equity Pooled Funds.
We adopt traditional performance measures to evaluate pooled fund managers' …

Previous studies show that combining a power utility portfolio selection model with the
empirical probability assessment approach (EPAA) to estimate the joint return distribution …

Recent work by Dr. Robert R. Grauer has shown that traditional performance measures,
such as Jensen's Alpha and the Sharpe Ratio, are unable to distinguish between perfect …

PURPOSE OF THE STUDY The purpose of this study is to analyze different value drivers
and their capability of explaining future stock returns. The value drivers are evaluated based …