In the asset pricing literature, time-variation in market expected excess return captured by financial ratios like dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational mispricing. Extending the work on asset allocation and dividend yield by Kandel and Stambaugh (1996) to accommodate variation in risk as well as expected return,...

The traditional single objective mean variance optimization model fails to satisfy the investors with multiple investment objectives. So multi-objective portfolio optimization model is considered in this paper. Since this will help investors to achieve highest expected return among the different financial products of the capital market and to fulfill the expected return objectives simultaneousl...

net returns is frequently discounted into perpetuity to evaluate a real estate investment alternative. The concept of expected net returns represents Capital budgeting literature suggests a number of an attempt to recognize the probabilistic nature of approaches to evaluating alternative investments. annual net returns for an investment under conditions However, use of concepts such as the payb...

This paper demonstrates that an asset pricing model with least-squares learning can lead to bubbles and crashes as endogenous responses to the fundamentals driving asset prices. When agents are risk-averse they generate forecasts of the conditional variance of a stock’s return. Recursive updating of the conditional variance and expected return implies two mechanisms through which learning impac...

We present a deterministic algorithm that given a tree T with n vertices, a starting vertex v and a slackness parameter ǫ > 0, estimates within an additive error of ǫ the cover and return time, namely, the expected time it takes a simple random walk that starts at v to visit all vertices of T and return to v. The running time of our algorithm is polynomial in n/ǫ, and hence remains polynomial i...

The classical Quadratic Programming formulation of the well known portfolio selection problem, is cumbersome, time consuming and relies on two important assumptions: (a) the expected return is multivariate normally distributed; (b) the investor is risk averter. This paper formulates two alternative models, (i) maximin, and (ii) minimization of absolute deviation. Data from a very simple problem...

Today’s low mortgage interest rates make direct real estate investments attractive to individual investors. However, low rates may result in an investor paying too much for the property. Sensitivity analysis conducted on a set of projected financial statements for a direct real estate investment shows the potential impact of changing rates on holding period return. Higher subsequent loan rates ...