One of the main concerns of investors is the evaluation of the return on investment, which is conducted using various models such as the CAPM (single-factor model), Fama-French three/five-factor models, and Roy and Shijin’s six-factor model and other models known as multi-factor models. Despite the widespread use of these models, their major drawbacks include sensitivity to unexpected changes, ...

Decision makers’ choices are often influenced by visual background information. This study uses open-ended equity funds in Taiwan to investigate three well-known optimal portfolio models, including the mean-variance, maximin, and minimization of mean absolute deviation. The optimal portfolios are then visualized on Decision Balls to assist investors in making investment decisions. By observing ...

The distinction between subjective and objective risk tolerance is illustrated by expected utility analyses of portfolios. Optimal portfolios were derived for one, 5, and 20 year investment horizons for 6 major financial asset categories. The important aspects of objective risk tolerance are the proportion of an investor's total wealth (including human wealth) in financial assets, and the inves...

The evidence on limited computational ability implies that investors will have difficulty making optimal choices when information requires complex processing, such as aggregating risks across investments or time. The implication for investment advisors is that information should be processed and presented in a format that simplifies optimal choices. For example, individual investments could be ...

Using advanced techniques of econometrics and a metaheuristic optimization approach, this study attempts to evaluate the potential advantages of international portfolio diversification for East Asian international investors when investing in the Middle Eastern emerging markets. Overall, the results of both econometric and the metaheuristic optimization methods are supporting each other. Finding...

This paper finds strong evidence of time-variations in the joint distribution of returns on a stock market portfolio and portfolios tracking sizeand value effects. Mean returns, volatilities and correlations between these equity portfolios are found to be driven by underlying regimes that introduce short-run market timing opportunities for investors. The magnitude of the premia on the size and ...