This paper is about dotted representations of efficient frontiers. Dotted representations, as in portfolio selection, can often be the most practical way of communicating an efficient frontier. The most popular method is to minimize variance subject to fixed levels of expected ∗Corresponding author [email protected]

We exploit the restrictions of intertemporal portfolio choice in the presence of nonfinancial income risk to design and implement tests of hedging that use the information contained in the actual portfolio of the investor. We use a unique dataset of Swedish investors with information broken down at the investor level and into various components of wealth, investor income, tax positions and inve...

Soccer spread betting is analysed using standard probabilistic methods assuming that goals are scored in a match according to Poisson distributions with constant means. A number of different possible forms of ‘edge’ (betting advantage) is identified. It is shown how the centre spreads of the more common bets in the ‘bet universe’ may be calculated. A more general question is then addressed, nam...

Executive Summary. This article examines the portfolio allocation decision within an asset/liability framework. Here portfolio weights are chosen not just by an asset’s return and variance but also by its correlation with pension liabilities. This results in assets that are highly correlated with pension liabilities being weighted higher in the portfolio. Typical mean-variance models estimate a...

This paper makes a number of contributions to the understanding of minimum variance portfolio (MVP) risk. First, it presents several results connecting changes in MVP risk to changes in portfolio asset volatilities and correlations. Second, it explores the efficacy of three alternative methods of attributing changes in MVP risk to either changes in asset volatility or changes in asset correlati...

In this paper we will state the fundamental principles of the gauge approach to financial economics and demonstrate the ways of its application. In particular, modeling of real pricing processes will be considered for an example of S&P500 market index. Derivative pricing and portfolio theory are also briefly discussed.

Societies are mostly using smartphones and the World Wide Web in the era of information technology, (IT). Information technology and its impact is revealed to everyone on modern society. IT enables communication worldwide but reduced face-to-face interaction, reduced physical activity, made headache, fatness, heart disease, diabetes, neck pain, cost, job loss, and so many other health problems....