Academics and practitioners have frequently debated the relationship between market capitalization and expected return. We apply the Markowitz efficient frontier approach to develop a portfolio performance measure that compares the return of a portfolio to its optimal return, using data from the...

This paper takes a utility-based approach to the single-period and single-item newsvendor model. Unlike most models in the literature the newsvendor is not necessarily risk-neutral and chooses the order quantity that maximizes the expected utility of the cash flow at the end of the period. We...