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Abstract This paper aims to discuss the optimal selection of investments for the short and long run in a continuous time financial market setting. First, it documents the almost sure pathwise long-run outperformance of all positive portfolios by the growth optimal portfolio. Secondly, it assumes...
Abstract This study examines the risk and performance of the Vice Fund, an antithesis of socially responsible funds. It also introduces a more robust measure of risk and performance, in the form of the autoregressive conditional heteroscedasticity model, into the socially responsible investing...
Abstract This paper uses economic data, political events and social developments to explain the extraordinary US stock market performance from 1980 to 2005. Six variables seemed to be working for the stock market during this period: (1) the boom in international trade due to globalisation; (2)...
Abstract Institutional investors currently face the challenge of being able to meet their future financial obligations. A particular problem for pension plans is the task of finding asset classes which allow them to achieve the necessary returns to pay out agreed benefits and avoid the risk of...
Abstract The relative efficiency and inefficiencies of the largest 25 US stock, bond and balanced funds is assessed using an operational research optimisation technique called data envelopment analysis. Using basic, cross- and super-efficiency models, the funds are compared with their peer funds...
Abstract The price-earnings (P/E) ratio is a widely used measure of the expected performance of companies, and it has almost invariably been calculated as the ratio of the current share price to the previous year's earnings. The P/E of a particular stock, however, is partly determined by outside...
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