To price assets with a parsimonious set of factor mimicking portfolios, one typically identifies and weights well-diversified basis portfolios. Traditional weightings lead to factor mimicking portfolios that are unlikely to price even the basis portfolios they are formed from. We offer a method...

When regulating the financial system, the volatility phenomenon seems to emerge, practically, as a phenomenon which is intrinsic to the capital market behaviour. Theoretically, the leverage of the firms appears to be a major determinant of the volatility of prices and returns. At the same time,...

Abstract: Finding the mean-variance eÆcient frontier is <p> a quadratic programming problem with an analytical solu- <p> tion, whenever the portfolio choice is unrestricted. The an- <p> alytical solution involves an inversion of the covariance ma- <p> trix. When short-sale constraints are added to the...</p></p></p></p>