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We present a new multiagent model for the multiperiod portfolio selec tion problem A system of cooperative agents divide initial wealth and follow individual worst case optimal investment strategies from random portfolios sharing their nal pro ts and losses The multiagent system achieves better average case performance than a single agent with the same initial wealth in a simple stochastic mark...

The Capital Asset Pricing Model (CAPM) assumes either that all asset returns are normally distributed or that investors have mean-variance preferences. Given empirical observations of asset returns, which document evidence of skewness and kurtosis, both assumptions are suspect. While several studies have investigated incorporating higher moments into asset pricing models using equity data, lite...

We present a new multiagent model for the multiperiod portfolio selection problem. Individual agents receive a share of initial wealth, and follow an investment strategy that adjusts their portfolio as they observe movements of the market over time. The agents share their wealth at the end of the nal investment period. We show that a multiagent system can outperform a single agent that invests ...

Signals coming from multivariate higher order conditional moments as well as the information contained in exogenous covariates, can be effectively exploited by rational investors to allocate their wealth among different risky investment opportunities. This paper proposes a new flexible dynamic copula model being able to explain and forecast the time–varying shape of large dimensional asset retu...

Financial Economics researches have become active since 1950’s and many prominent theories regarding asset pricing and corporate finance have been proposed (Markowitz, 1952; Modigliani, Miller, 1958; Sharpe, 1964; Shleifer, 2000). The assumption of the efficiency of financial markets plays an important role in the literature in traditional financial theory and many research have been conducted ...

This paper postulates that management performance evaluation is a source of divergence between institutional investors and households’ optimal portfolio decisions. In a partial equilibrium setting, the objective of a representative household is modeled as the maximization of expected utility (an increasing and concave function, in order to accommodate risk aversion) of final wealth. Yet, the in...

Investors in alternative asset classes such as private equity and hedge funds have long had difficulty applying traditional models for making asset allocation decisions. The optimization techniques of modern portfolio theory rely heavily on a trio of descriptive statistics: mean, variance, and covariance. For most traditional asset classes, the abundance of historical data provides a guide for ...

We present a random variable characterization of the necessary and sufficient conditions for a shift of the distribution of rate of return on the risky asset in the two asset portfolio problem to reduce demand for all risk–averse expected utility maximizing investors. We also present a random variable characterization of the shifts that lead to both a reduction in demand and a non–increase in e...