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Abstract This paper aims to offer an alternative formulation of the Behavioural Portfolio Theory as formulated by Hersh Shefrin and Meir Statman (2000) via the Theory of Needs from Abraham Maslow (1943). This alternative formulation, called Maslowian Portfolio Theory (MaPT), yields the same...
Abstract This paper analyses the impact of trading costs on the profitability of momentum strategies in the United Kingdom and concludes that losers are more expensive to trade than winners. The observed asymmetry in the costs of trading winners and losers crucially relates to the high cost of...
Abstract This paper investigates the concept of risk appetite. A number of methodologies for building a risk appetite index are proposed. It is shown how this index can be utilised to improve portfolio construction in currency markets. Portfolios are constructed using quadratic optimisation....
Abstract This paper investigates the performance of mutual funds that hold a small number of stocks in their portfolio. Similar to results reported in the literature for the average diversified mutual fund, our results indicate that the average small holding fund does not outperform the S&P 500...
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