the present study is an attempt toward evaluating the performance of portfolios and asset selectionusing cross-efficiency evaluation. cross-efficiency evaluation is an effective way of ranking decisionmaking units (dmus) in data envelopment analysis (dea). conventional dea models assume nonnegativevalues for inputs and outputs. however, we know that unlike return and skewness, varianceis the on...

This paper constructs a model in which the currency composition of national portfolios is an essential element in facilitating capital ‡ows between countries. In a two country environment, each country chooses optimal nominal bond portfolios in face of real and nominal risk. Current account de…cits are …nanced by increases in domestic currency debt, but balanced by increases in foreign currency...

Australian stock market has lower market capitalization compared to that of many other OECD countries and Australian investors can reduce their overall portfolio risk by diversifying into equities from other markets. Choosing stock markets with low correlations with the domestic market can increase the portfolio diversification benefits. For Australian investors, East European stock markets are...

Although the understanding of and motivation behind individual trading behavior is an important puzzle in finance, little is known about the connection between an investor's portfolio structure and her trading behavior in practice. In this paper, we investigate the relation between what stocks investors hold, and what stocks they buy, and show that investors with similar portfolio structures to...

This paper is the continuation of the paper entitled “Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs I” that treats an infinite-time horizon hereditary portfolio optimization problem in a market that consists of one savings account and one stock account. Within the solvency region, the investor is allowed to consume from the savings account and can ma...

In this paper we implement an algorithm for the optimal selection of a portfolio of stock and risk-free asset under the stochastic volatility (SV) model with discrete observation and trading. The SV model extends the classical Black-Scholes model by allowing the noise intensity (volatility) to be random. The main assumption is that the portfolio manager has discrete access to the continuous-tim...

A new approach to mean-variance efficient portfolio selection is introduced. The method is based on realized regression theory and the regression based portfolio selection approach of Britten-Jones (1999), yielding a conditional version of the Britten-Jones (1999) method. Some of the noticeable results of the paper are as follows. Firstly, the monetary union may have had a much less important i...

The portfolio management for trading in the stock market poses a challenging stochastic control problem of significant commercial interests to finance industry. To date, many researchers have proposed various methods to build an intelligent portfolio management system that can recommend financial decisions for daily stock trading. Many promising results have been reported from the supervised le...

In this analysis of the risk and return of stocks in the United States and global markets, we apply several portfolio construction and optimization techniques to U.S. and global stock universes. We find that (1) mean-variance techniques continue to produce portfolios capable of generating excess returns above transaction costs and statistically significant asset selection, (2) optimization tech...

Stock selection models often use analysts’ expectations, momentum, and fundamental data. We find support for composite modeling using these sources of data for global stocks during the period 1997–2011. We also find evidence to support the use of SunGard APT and Axiomamulti-factor models for portfolio construction and risk control. Three levels of testing for stock selection and portfolio const...