investing on growth stocks and value stocks has represented one of the research topics on strategies creating excess return. in this paper, which focuses on companies listed in tehran stock exchange, companies are categorized into growth and value based on certain measures and then their performances are studied. in addition to individual ratios used in a large volume of researches, combined me...

The levels of diversification in U.S. investors’ equity portfolios present a puzzle. Today’s optimal level of diversification, measured by the rules of mean–variance portfolio theory, exceeds 300 stocks, but the average investor holds only 3 or 4 stocks. The diversification puzzle can be solved, however, in the context of behavioral portfolio theory. In behavioral portfolio theory, investors co...

While portfolios have seen an unprecedented surge in popularity, they have also become the subject of controversy: learners often perceive little gain from writing reflections as part of their portfolios; scholars question the ethics of such obligatory reflection; and students, residents, teachers and scholars alike condemn the bureaucracy surrounding portfolio implementation in competency-base...

WAI LEE is the director of research and CIO of the Quantitative Investment Group at Neuberger Berman in New York, NY. [email protected] The global financial crisis in 2008 caused investors to question what went wrong with many of their portfolios, which were believed to be diversified. Mean-variance optimization (MVO), 60/40, modern portfolio theory (MPT), and others seem to have been put on trial...

The turmoil in the capital markets in 1997 and 1998 has highlighted the need for systematic stress testing of banks’ portfolios, including both their trading and lending books. We propose that underlying macroeconomic volatility is a key part of a useful conceptual framework for stress testing credit portfolios, and that credit migration matrices provide the specific linkages between underlying...