This paper examines the ability of government bond fund managers to time the market, based on their holdings of Treasury securities during the period 1997-2006. We find that, on average, government bond fund managers exhibit significant and positive timing ability at the one-month horizon, under a holdings-based timing measure. In particular, fund managers specializing in Treasury securities ar...

With the aim of portfolio optimization and management, this article utilizes the Clayton-copula along with copula theory measures. Portfolio-Optimization is one of the activities in investment funds. Thus, it is essential to select an appropriate optimization method. In modern financial analyses, there is growing evidence indicating the distribution of proceeds of financial properties is not cu...

Using a new measure for predictability combining economic and statistical criteria I find that in the S&P 500 market neither stochastic volatility, nor valuationbased information are advantageous over a homoscedastic return model. The testing framework is based on a benchmark trading strategy with optimal Sharpe ratio. The strategy’s expected excess returns naturally accommodate compensation fo...

Mutual funds are the best tool to mobilize savings and investments in an economy and Pakistan is the pioneer in South Asia, but this industry is not as much mature in comparison to its age in Pakistan. This paper examines the performance of closed ended mutual funds in Pakistan by using five different ranking measures during a period of January 2009 to December 2013 and the sample consists of o...

The purpose of a building design process is to create a description that satisfies building functional specifications, requirements on performance and resource usage, as well as restrictions such as building regulations. The need to develop intelligent computer programs to check compliance of a design with building codes was specified by Niwa (1987), Sharpe and Oakes (1995). A previously propos...