The issue of estimation risk is of particular interest to the decision-making processes of portfolio managers who use long-short investment strategies. Accordingly, our paper explores the question of whether a VaR constraint reduces estimation risk when short sales are allowed. We find that such...

Using survey data on a random sample of 2000 mutual fund investors, we classify investors by their level of financial literacy and their place of mutual fund purchase. After using a probit model to separately estimate the determinants of an investor's choice of distribution channel and level of...