The authors show that leverage aversion changes the predictions of modern portfolio theory:
Safer assets must offer higher risk-adjusted returns than riskier assets. Consuming the high …

An investigation of the empirical relationship between the Sharpe ratio and the investment
horizon for portfolios of small stocks, larger stocks, and bonds shows that the Sharpe ratio …

It is widely accepted that, when return distributions are non-normal, the use of the Sharpe
ratio can lead to misleading conclusions. It is well documented that deviations of hedge fund …

Venture capitalists appear to be better at investing than they are at exiting their investments.
This article reports the results of a survey of thirty representative venture capitalists …

The focus of this article is the analysis of the inflation risk of European real estate securities.
Following both a causal and a final understanding of risk, the analysis is twofold. First, to …

This study uses the hidden Markov model (HMM) to identify the phases of individual assets
and proposes an investment strategy using price trends effectively. We conducted empirical …

When Jeremy Siegel published his “Stocks for the Long Run” thesis, little was known about
19th-century stock and bond returns. Digital archives have made it possible to compute real …

Beta and Treynor ratios are computed for portfolios of small stocks, large stocks, and bonds
for holding periods of 1 to 30 years. For both the stock and bond portfolios, beta, and the …

The German Retirement Saving Act instituted a new funded system of supplementary
pensions coupled with a general reduction in the level of state pay-as-you-go old-age …

Typical multi-asset-class portfolios can be dominated by equity risk, even when the
allocation to equities is relatively modest. Achieving risk parity between equities and fixed …