Recent developments in the theory of choice under uncertainty and risk yield a pessimistic decision theory that replaces the classical expected utility criterion with a Choquet expectation that accentuates the likelihood of the least favorable outcomes. A parallel theory has recently emerged in...

The approximately linear model represents deviations from the ideal linear model by a vector contained in a prescribed bias-ball. In a recent paper Mathew and Nordstrom (1993) proposed min--maxbias estimators in which a criterion function is defined by maximizing errors over the bias-ball. When...

Using a unique dataset, we document that only those closed funds for which no new fund is subsequently launched continuously deliver positive abnormal returns. This suggests the existence of an optimal fund scale. In spite of the potential diseconomies of scale, a non-trivial proportion of...