The factor model is an important construct for both portfolio managers and researchers in modern finance. For practitioners, factor model coefficients are used to guide the construction of optimal portfolios. For academicians, factor model parameters play a fundamental role in explaining...

A common objective of social science and business research is the modeling of the relationship between demographic/psychographic characteristics of individuals and the likelihood of certain behaviors for these same individuals. Frequently, data on actual behavior are unavailable; rather, one has...

A new principle for choosing portfolios based on historical returns data is introduced; the optimal portfolio based on this principle is the solution to a simple linear programming problem. This principle uses minimum return rather than variance as a measure of risk. In particular, the portfolio is...