Most of previous work on robust equity portfolio optimization has focused on its formulation and performance. In contrast, in this paper we analyze the behavior of robust equity portfolios to determine whether reducing the sensitivity to input estimation errors is all robust models do and investigate any side-effects of robust formulations. Therefore, our focus is on the relationship between fu...

CAPM theory is the core of modern financial theory. As time went on, more and people began to invest in research, many contradictions have emerged, not least highly idealistic assumptions harsh implementation conditions. Different from CAPM, which only has a single factor market risk beta, The inclusion size premium book-to-market ratio this model can effectively explain stock results. By intro...

a r t i c l e i n f o The present research has aimed to extend the previous research on the structure of subjective well-being (SWB) by applying the bifactor model. The Satisfaction with Life Scale (SWLS) and the Positive and Negative Affect Schedule (PANAS) were administered to two large samples of Serbian young adults (N 1 = 1669, N 2 = 1522). The bifactor model of SWB with one general and th...

The objectives of this study were to validate the Maslach Burnout Inventory General Survey (MBI-GS) for a customer-services environment, and to assess differences in the burnout levels among various demographic groups. A cross-sectional survey design was used. A sample (n = 228) was taken of customer-services personnel working for medical schemes. The MBI-GS and a biographical questionnaire wer...

This study develops and estimates a stochastic volatility model of commodity prices that nests many of the previous models in the literature. The model is an affine three-factor model with one state variable driving the volatility and is maximal among all such models that are also identifiable. The model leads to quasianalytical formulas for futures and options prices. It allows for time-varyin...

A recently developed self-report questionnaire, the Negative Self Portrayal Scale (NSPS; Moscovitch and Huyder in Behav Ther 42:183–196. doi:10.1016/j.beth. 2010.04.007, 2011) assesses concerns about appearing socially incompetent, physically unattractive, and/or visibly anxious to evaluative others. Initial validation studies of the NSPS yielded promising results but were conducted exclusively...

This paper investigates stock returns behaviour as a function of lagged idiosyncratic risk in the Fama-French three-factor model using two approaches to estimating idiosyncratic risk. The application of ordinary least squares and quantile regression methods to heteroskedasticity corrected data in a panel structure reveals that the form of relationship does not change with the method of estimati...

Three-factor model posits that a three-way interaction between weight concern, perfectionism, and self-efficacy predict changes in disordered eating but has proved difficult to replicate. The aim of this study was to investigate a revised model, examining a three-way interaction between concerns, perfectionism, and self-compassion in predicting changes in disordered eating. Women (N=55) with a ...

In this paper, we test the applicability of different Fama–French (FF) factor models in Vietnam, investigate value redundancy and examine choice profitability factor. Our empirical evidence shows that FF five-factor model has more explanatory power than three-factor model. The remains important after inclusion investment factors. Operating performs better cash return-on-equity (ROE) as a proxy ...