Portfolio selection models based on second-order stochastic dominance (SSD) have the
advantage of providing portfolios that reflect the behavior of risk-averse investors without the …

Abstracts The traditional CAPM beta is almost exclusively calculated over a return period
that spans a window length of 60-months, at one-month return frequencies. It is one of the …

This study is intended as a note and provides an extension to a much-used and established
test for portfolio efficiency, the Gibbons, Ross, and Shanken GRS-Wald test. Tests devised to …

In this article, we analyse the impact of the introduction of options on an investment portfolio.
Our first objective is to derive closed-form formulae for the standard measures of portfolio …

El presente trabajo tiene por objetivo analizar y comparar estrategias de diversificación
internacional, empleando activos tradicionales (acciones) y exchange traded fund (ETFs) de …

An investment in a portfolio can not only guarantee returns but can also effectively control
risk factors. Portfolio optimization is a multi-objective optimization problem. In order to better …

BACKGROUND In their study of seasonality on the New York Stock Exchange, Rozeff and
Kinney [1976] find that January returns are significantly higher than returns for other months …

Two years after the global capital stock of Gadzinski, Schuller, and Vacchino (2018) and 36
years after the world market wealth portfolio of Ibbotson, Siegel, and Love (1985), investors …

This article seeks to determine the migration of exchange-traded fund (ETF) liquidity and its
factor constituents in the US market over time, with the ultimate goal of making the ETF …

Few number of days accounts for most of the returns delivered by precious metals (gold,
silver, platinum and palladium). A passive buy and hold investment strategy in precious …