1 - 4 of 4 articles
Using a large and long sample of US and European mutual funds, we examine the impact that membership of a fund family has on performance. We test for strategic and competitive behaviours among family funds and whether this affects performance persistence and risk-taking. While we do not find...
In this article, I propose an extension of the Treynor–Black model to a case where the investor is not fully invested in the stock market at the outset and there is no need to explicitly specify securities’ expected returns. I derive explicit tangent portfolio weights based on a factor model of...
Using geometric illustrations, we investigate what implications of portfolio optimization in equilibrium can be generated by the simple mean-variance framework, under margin borrowing restrictions. First, we investigate the case of uniform marginability on all risky assets. It is shown that...
The risk and return characteristics of a highly diversified investment portfolio are examined in an effort to best assess its potential by means that incorporate both conventional risk estimation and performance evaluation. Estimation of performance variability and downside risk often assumes a...
Read and print from thousands of top scholarly journals.
Continue with Facebook
Log in with Microsoft
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Sign Up Log In
To subscribe to email alerts, please log in first, or sign up for a DeepDyve account if you don’t already have one.
To get new article updates from a journal on your personalized homepage, please log in first, or sign up for a DeepDyve account if you don’t already have one.