A Dynamic Mean-Variance Analysis for Log Returns

For Normal Returns, Mean-Variance Admissible Choices are Optimal

For mutually exclusive investments or portfolio choices with normally distributed returns, we show that all elements of the second-order stochastic dominance admissible choice set are elements of the optimal or minimally efficient set. (That is, these elements will be chosen by some investor manifesting non-satiation and risk aversion.) This result helps clarify the relation between mean-varian...

Mean-variance-skewness model for portfolio selection with fuzzy returns

Article history: Received 21 August 2008 Accepted 4 May 2009 Available online 15 May 2009

A Bayesian Analysis of a Variance Decomposition for Stock Returns∗

A Bayesian Analysis of a Variance Decomposition for Stock Returns We apply Bayesian methods to study a common VAR-based approach for decomposing the variance of excess stock returns into components reflecting news about future excess stock returns, future real interest rates, and future dividends. We develop a new prior elicitation strategy which involves expressing beliefs about the components...

Behavioral Finance: Biases, Mean– Variance Returns, and Risk Premiums

ehavioral finance can shed light on many areas of investing, including valuation. In this presentation, I will discuss some of the key behavioral phenomena and how they relate to particular issues associated with analyst perceptions about returns (namely, representativeness and affect). I will then compare returns for what I call “behavioral mean– variance portfolios” with those of traditional ...

Mean-variance versus expected utility in dynamic investment analysis