We explore theoretically and experimentally the general equilibrium price and allocation implications of delegated portfolio management when the investor-manager relationship is non-exclusive. Investors transfer their securities allocations to managers, managers trade in a competitive marketplace to achieve new allocations, and payo↵s are distributed back to investors after subtraction of a por...

This study evaluates the success of the monthly deposit of funds into hypothetical retirement portfolios for the period January 1926 to December 2003. The results of the study indicate that, in general, portfolios with a higher equity portion had a greater likelihood of achieving the desired terminal value. We also find that monthly deposits based on the historical asset class returns generally...

the purpose of this study was proposing a suitable pattern for evaluating and assessing companies. to reach this important goal, the fuzzy delphi method (fdm was employed. after the evaluation pattern was created, the fuzzy analytic hierarchy process (fahp) was used in order to find the weight of all selected factors, and the significance of each of evaluation factor was determined. next, compa...

We study rankings of completely and partially diversified portfolios and also of specialized assets when investors follow so-called Markowitz preferences. It turns out that diversification strategies for Markowitz investors are more complex than in the case of risk-averse and risk-inclined investors, whose investment strategies have been extensively investigated in the literature. In particular...

a r t i c l e i n f o Using high frequency intraday data, this paper investigates the herding behavior of institutional and individual investors in the Taiwan stock market. The study finds evidence of herding by both investors but a stronger herding tendency among institutional than among individual investors. Institutional investors herd more on firms with small capitalizations and lower turno...

Vast pools of historical financial information are available on economies, industry, and individual companies that affect investors’ selection of appropriate portfolios. Fuzzy data provides a good tool to reflect investors’ opinions based on this information. A possibilistic mean variance safety-first portfolio selection model is developed to support investors’ decision making, to take into con...

Executive summary. The current low-yield environment has led many bond investors to ask whether they should prepare for an eventual rebound in yields by purchasing individual bonds. The potential benefits of this strategy are often exaggerated. More important is that, for most bond investors, bond mutual funds and their exchange-traded fund (ETF) counterparts provide a number of advantages over...

I study how growth affects liquidity of global stock exchanges and how liquidity determines cross-sectional returns on those stock exchange index portfolios. I measure portfolio liquidity by turnover ratio computed as value of shares traded over the market capitalization. I obtain data from FIBV, an association of global stock exchanges. In a multiple regression model for turnover ratio, I find...

We extend the theory of asymmetric information in mispricing models for stocks following geometric Brownian motion to constant relative risk averse investors. Mispricing follows a continuous mean–reverting Ornstein–Uhlenbeck process. Optimal portfolios and maximum expected log–linear utilities from terminal wealth for informed and uninformed investors are derived. We obtain analogous but more g...