This paper proposes a new tractable approach to solving multi-period asset allocation problems. We assume that investor preferences are deÞned over moments of the terminal wealth distribution such as its skew and kurtosis. Time-variations in investment opportunities are driven by a regime switching process that can capture bull and bear states. We develop analytical methods that only require so...

using advanced techniques of econometrics and a metaheuristic optimization approach, this study attempts to evaluate the potential advantages of international portfolio diversification for east asian international investors when investing in the middle eastern emerging markets. overall, the results of both econometric and the metaheuristic optimization methods are supporting each other. finding...

I nvestors and market analysts generally believe that the yield on a nominal bond includes an inflation risk premium to compensate investors for bearing the inflation risk associated with the bond. Knowing how much of a risk premium investors require on nominal bonds can be valuable information for policymakers. For government Treasuries, the size of the risk premium represents the potential in...

Efficiency in the mutual fund (MF), is one of the issues that has attracted many investors in countries with advanced financial market for many years. Due to the need for frequent study of MF’s efficiency in short-term periods, investors need a method that not only has high accuracy, but also high speed. Data envelopment analysis (DEA) is proven to be one of the most widely used methods in the ...

Based on the premise that non-trading reflects illiquidity, we hypothesize that managers use stock splits to attract more uninformed trading so that market makers can provide liquidity services at lower costs, which increases investors’ trading propensity and improves liquidity. The improvement allows investors to face reduced liquidity risk and require a lower liquidity premium, which in turn ...

Executive summary. Some say the long-run outlook for U.S. stocks is poor (even " dead ") given the backdrop of muted economic growth, already-high profit margins, elevated government debt levels, and low interest rates. Others take a rosier view, citing attractive valuations and a wide spread between stock earnings yields and Treasury bond yields as reason to anticipate U.S. stock returns of 8%...

With respect to the recent financial crisis, the authors argue that the appropriate adjustments to portfolio allocations in response to the market dislocation are determined by equilibrium considerations (supply must equal demand) and depend on individual investors’ characteristics relative to societal averages. Using a simple model that captures the magnitude of the recent crisis, the authors ...

this paper studies the effect of considering time varying skewness and kurtosis on the estimation of value at risk (var) for both long and short positions using the hyaparch model and daily data for tehran stock exchange price index (tepix). our results show that applying conditional distributions with time varying or constant skewness and degrees of freedom is able to capture the asymmetry app...

This study examines the relation between ownership concentration and performance of initial public offerings (IPOs) in Thailand during 1989-1993. Ownership concentration plays a crucial role in emerging capital markets such as Thailand and can significantly affect IPO performance. Several testable hypotheses are constructed from the IPO literature to examine short-term and long-term IPO perform...