Household portfolios include risky bonds, beyond stocks, and respond to permanent labor
income shocks. This article brings these features into a life-cycle setting, and shows that …

Mean-Variance optimisation has come under great criticism recently, based on the poor
performance experienced by asset managers during the global financial crisis. In response …

Using five alternative data sets and a range of specifications concerning the underlying
linear predictability models, we study whether long-run dynamic optimizing portfolio …

A recent literature has shown that REIT returns contain strong evidence of bull and bear
dynamic regimes that may be best captured using nonlinear econometric models of the …

Standard tests for persistence in hedge fund performance are not consistent with investment
practices because they ignore performance reporting delay, overlook fund selection …

Companies with the ability to consistently share dividends would be an attractive investment
to most investors. The Jakarta Stock Exchange released a new, high dividend index in the …

Index-based investment products are becoming increasingly popular among passive
managers. So far, empirical studies have focused on complex heuristic-related optimization …

Abstract The Saudi Stock Exchanges (Tadawul) was, in December 2019, at the center of
attention of world finance. The initial public offering (IPO) of the country's national oil …

This paper examines the performance benefits of using conditioning information in mean‐
variance strategies in UK and US stock returns. The paper finds that after adjusting for …

2 Materials and methods __________________________________… 6 2.1 Assessment
methods................................................................................................ 6 2.2 LCA …