Developing an investment portfolio for the stock market that will yield positive returns is the primary goal of investors worldwide. A variety of models and algorithms have been developed to decide upon a distribution which maximizes gains in the market, a few examples being the Geometric Brownian Motion model and the universal portfolio. One particular algorithm, known as online gradient desce...

We show that reaching for yield—a tendency to take more risk when the real interest rate declines while premium remains constant—results from imposing a sustainable spending constraint on an otherwise standard infinitely lived investor with power utility. When is initially low, yield intensifies. The also affects response of risk-taking change in premium, which can even sign. In variant model w...

Multicriteria project evaluation and resource allocation decisions are central and recurrent activities in business and public administration alike. These problems are typically characterized by large number of project proposals, portfolio balance requirements and other constraints; they are also often pressed by urgency and limited data availability. Simple additive scoring models, which o er ...

We study the economic importance of accounting information as defined by the value that sophisticated investors can extract from financial statements when maximizing their expected utility from holding a portfolio of U.S. equities. Our approach applies the elegant parametric portfolio policy (PPP) method of Brandt, Santa-Clara and Valkanov (2009) that models portfolio weights as a linear functi...

Practically all firms pursue goals by selecting a portfolio of courses of action that consume resources. Yet, due to uncertainties such as unforeseen market developments, it may not be possible to know in advance how much value these actions yield. Thus, the selection must be based on uncertain ex ante estimates about the future values of the actions. In this paper we show that the explicit Bay...

IT Fashions are new emerging IT innovations that are going through a hyped phase. Consequently they are on the rise and by their proponents claimed to be a fundamental improvement offering solutions to real or perceived problems with IT. Naturally, IT Fashions are characterized by both, high risk and high expected returns. Hitherto, suitable methodologies to quantify the impacts of IT Fashions ...