In this article, I explicitly solve dynamic portfolio choice problems, up to the solution of an ordinary differential equation (ODE), when the asset returns are quadratic and the agent has a constant relative risk aversion (CRRA) coefficient. My solution includes as special cases many existing explicit solutions of dynamic portfolio choice problems. I also present three applications that are no...

The existence of an active and prosperous capital market is always recognized as one of the signs of international development in the countries. The most important issue faced by investors in these markets is the decision to choose the appropriate securities for investment and formation of optimal portfolio. The rating of companies accepted in stock exchange is a complete mirror of their status...

The portfolio is a perfect combination of stock or assets, which an investor buys them. The objective of the portfolio is to divide the investment risk among several shares. Using non-parametric DEA and DEA-R methods can be of great significance in estimating portfolio. In the present paper, the efficient portfolio is estimated by using non-radial DEA and DEA-R models. By proposing non-radial m...

The paper analyzes the asset pricing implications of performance fees linking the compensation of fund managers to the return of the managed portfolio relative to that of a benchmark portfolio. Symmetric (“fulcrum”) performance fees distort the allocation of managed portfolios in a way that induces a significant positive effect on the equilibrium prices of stocks included in the benchmark portf...

This paper uses disclosed mutual fund portfolio holdings to develop stock selection models. Our models aggregate portfolio holdings across mutual funds, weighted by their past performance, to predict future stock returns – an overweighting by successful managers, or an underweighting by unsuccessful managers is considered to be a signal that a stock is currently underpriced. We find that invest...

The paper investigates the first and second orders moment transmission between gold and Indian industrial sectors with an application of portfolio design and hedging effectiveness using generalised VAR-ADCC-BVGARCH model. Our findings indicate unidirectional significant return spillover from gold to stock sectors. The negative values of estimated time varying conditional correlations are mainly...

This study tests whether Fidelity Management and Research Company possesses private information when it makes large trades. We use a conditional performance measure inspired by Admati and Ross (1985) and by Grinblatt and Titman (1993) that does not require a benchmark used in risk-adjusted measures. It conditions the performance of each trade on public information, measured by the market price ...

contrarian and momentum investing strategies are two techniques which are used in stock markets to enhance portfolio return. contrarian investing strategy states that stocks which had better performances in the past should be sold and stocks that had poor performances should be bought. in practice, this strategy is used for a package of stocks and for portfolio formation. the main objective of ...

The aims of this paper are to use a birandom variable to denote the stock return selected by some recurring technical patterns and to study the effect of exit strategy on optimal portfolio selection with birandom returns. Firstly, we propose a newmethod to estimate the stock return and use birandom distribution to denote the final stock return which can reflect the features of technical pattern...

Recently, the economic crisis has resulted in instability in stock exchange market and this has caused high volatilities in stock value of exchanged firms. Under these conditions, considering uncertainty for a favorite investment is more serious than before. Multi-objective Portfolio selection (Return, Liquidity, Risk and Initial cost of Investment objectives) using MINMAX fuzzy goal programmin...