Tri-criterion modeling for constructing more-sustainable mutual funds

Tri-criterion modeling for constructing more-sustainable mutual funds

One of the most important factors shaping world outcomes is where investment dollars are placed. In this regard, there is the rapidly growing area called sustainable investing where environmental, social, and corporate governance (ESG) measures are taken into account. With people interested in this type of investing rarely able to gain exposure to the area other than through a mutual fund, we s...

Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds

We present a framework for inverse optimization in a Markowitz portfolio model that is extended to include a third criterion. The third criterion causes the traditional nondominated frontier to become a surface. Until recently, it had not been possible to compute such a surface. But by using a new method that is able to generate the nondominated surfaces of tri-criterion portfolio selection pro...

Mutual Funds in Equilibrium∗

Historically, the literature on money management has not consistently applied the rational expectations equilibrium concept. We explain why and summarize recent developments in the money management literature that do apply this concept correctly. We demonstrate that in many respects the rational expectations equilibrium better approximates the observed equilibrium in the money management space ...

Mutual Funds by Edwin

Essays on Mutual Funds

Title of dissertation: ESSAYS ON MUTUAL FUNDS Nitin Kumar, Doctor of Philosophy, 2013 Dissertation directed by: Professor Russ Wermers Department of Finance Robert H. Smith School of Business This dissertation comprises of three essays on mutual funds. In the first essay, I test whether fund investors rationally incorporate portfolio manager ownership disclosure in their portfolio allocation de...