We investigate portfolio selection performance as in Markowitz by evaluating variance matrix estimation criteria in the currency market. This study challenges theoretically rigorous shrinkage covariance estimators using multiple evaluation metrics: systematic loss function, risk profile of...

This study evaluates Indian mutual funds using a variety of criteria, demonstrating a historical tendency of lower monthly returns and volatility when compared to benchmark indexes. This positive risk profile implies that it will appeal to investors who want stability. Despite COVID-19-induced...

This study explores long-term investment strategies for individuals in European countries who have limited initial capital and may have no expertise in financial economics. We compare three strategies-Cost Average Plan (CAP), Bank Deposits Plan (BDP), and Buy and Hold (BnH)-by analyzing their...

Market turnover levels and liquidity changes across various territories significantly influence currency prices, leading to continuous fluctuations. Consequently, traders and investors constantly seek strategies to mitigate exchange rate risks. This study aimed to measure and assess foreign...

I conduct an exploratory study about the feasibility of factor timing in the Chinese stock market, covering 24 representative and well-identified risk factors in 10 categories from the literature. The long-short portfolio of short-term reversal exhibits strong out-of-sample predictability, which...

We conduct a replication experiment, with sophisticated student participants, of the three main treatments of the debt aversion experiment by Martínez-Marquina and Shi (2024). While participants in our experiment have chosen return maximizing strategies much more frequently than those in...