In the present experiment, we used a reversed-contingency paradigm (the windows task: [Russell, J., Mauthner, N., Sharpe, S., & Tidswell, T. (1991). The windows task as a measure of strategic deception in preschoolers and autistic subjects. British Journal of Developmental Psychology, 9, 331-349]) to explore the effect of alterations in the task array on 3-year-old children's strategic reasonin...

We consider the problem of optimal bidding for virtual trading in two-settlement electricity markets. A virtual trader aims to arbitrage on the differences between day-ahead and real-time market prices; both prices, however, are random and unknown to market participants. An online learning algorithm is proposed to maximize the cumulative payoff over a finite number of trading sessions by alloca...

We examine the issue of possible portfolio diversification benefits into seven Middle-Eastern and North African (MENA) stock markets. We take the standpoint of the world investor and we construct portfolios in international and local currencies based on five optimization models and two risk measures. We then compare the portfolio out-of-sample performance based on Sharpe and Sortino ratios thro...

The data envelopment analysis (DEA) is an optimization based technique that has been proposed by Charnes, Cooper and Rhodes (1978) to measure the relative efficiency of public sector activities and no profit organizations, such as for example educational institutions and health services. The DEA efficiency measure is computed by solving a fractional linear programming model that can be converte...

Most practitioners measure investment performance based on the CAPM, determining portfolio "alphas" or Sharpe Ratios. But the validity of this analysis rests on the validity of the CAPM, which assumes either normally distributed (and therefore symmetric) returns, or mean-variance preferences. Both assumptions are suspect: even if asset returns were normally distributed, the returns of options o...

The aim of this study is to evaluate the effect of information delay on theperformance of joint investment funds. In order to achieve the aim of thisstudy sample consisted of twenty funds in the Tehran Stock Exchange from2010 to 2014 the systematic elimination method has been adopted. In thisstudy, the linear regression test has been used in order to evaluate the researchhypothesis. Data analys...

We consider the problem of online learning in settings in which we want to compete not simply with the rewards of the best expert or stock, but with the best trade-off between rewards and risk. Motivated by finance applications, we consider two common measures balancing returns and risk: the Sharpe ratio [7] and the mean-variance criterion of Markowitz [6]. We first provide negative results est...