This article examines the relation between dollar-real exchange rate volatility implied in option prices and subsequent realized volatility. It investigates whether implied volatilities contain information about volatility over the remaining life of the option that is not present in past...

In this paper the random walk hypothesis is tested for a set of daily Brazilian stock data given by the Sao Paulo Stock Exchange Index (IBOVESPA) in the period of 1986-1998. A rolling variance ratio test for different investment horizons was conducted, and it is concluded that prior to 1994 the...

The objective of this article is twofold. The first is to incorporate mental accounting, loss-aversion, asymmetric risk-taking behaviour and probability weighting in a multi-period portfolio optimization for individual investors. While these behavioural biases have previously been identified in...