The monthly return distributions of many hedge fund indices exhibit highly unusual skewness and kurtosis properties as well as first-order serial correlation. This has important consequences for investors. We demonstrate that although hedge fund indices are highly attractive in mean-variance terms, this is much less the case when skewness, kurtosis and autocorrelation are taken into account. Sh...

This paper explores the role of monetary policy in an open economy in an environment of endogenous portfolio choice. The model is simple enough to allow solutions for optimal portfolios to be derived analytically for a range of different asset market environments. We explore the impact of monetary policy on national bond and equity portfolios in environments where assets markets are either comp...

This paper is devoted to the study of discrete implications that satisfy modus ponens (MP), modus tollens (MT) or both (MPT). The main goal is to characterize all R, S, QL and D-implications on a finite chain L satisfying these properties for a given smooth t-norm T1. The non-smooth case is also discussed for a special family of t-norms.

In estimating the inputs into the Modern Portfolio Theory (MPT) portfolio optimisation problem it is usual to use equal weighted historic data. Equal weighting of the data, however, does not take account of the current state of the market. Consequently this approach is unlikely to perform well in any subsequent period as the data is still reflecting market conditions that are no longer valid. T...

This paper surveys asset allocation methods that extend the traditional approach. An important feature of the the traditional approach is that measures the risk and return tradeoff in terms of mean and variance of final wealth. However, there are also other important features that are not always made explicit in terms of investor’s wealth, information, and horizon: The investor makes a single p...

This paper analyzes the role that health status plays in household portfolio decisions using data from the first wave of the Health and Retirement Study. The results indicate that health is a significant predictor of both the probability of owning different types of financial assets and the share of financial wealth held in each asset category. Households in poor health are less likely to hold ...

regarding the literary historical debates, one of the main concerns of modern historiography is the way of representing the concept of reality within the framework of a coherent narrative, a reality that is only achievable through the process of narrative that is supposed to be constructive and ordering. therefore, in order to examine this ordering process of narrative in james joyce's novel, a...