This paper considers the estimation of parameters in a dynamic stochastic model for securities prices, where the expected rate of return is a random variable. An empirical Bayes estimator is developed from the model structure. The estimator is an improvement on other popular estimators in terms...

The Fed Model assumes that, the equity earnings yield follows the bond yield in the long run. This effect can be used to predict changes in the equity prices when the yields are far apart. Our tests based on a cointegration analysis of the United States, United Kingdom and German data indicate...

We study how incentive fees and manager's own investment in the fund affect the investment strategy of hedge fund managers. We find that loss averse managers increase the risk of the fund's investment strategy with higher incentive fees. However, risk taking is greatly reduced if a substantial...

This paper presents a theoretical study of how incentives affect hedge fund risk and returns and an empirical study of the performance of a large group of operating hedge funds. Most hedge fund managers receive a flat fee plus a share of the returns above a certain benchmark. We investigate how...

We consider a non-repetitive manufacturing environment where the first stage will successively process different types of items that require different set up modes. Optimal sublot sizes are determined by studying the trade-off between the cost and time spent in restoration and rework. In...

We consider a non-repetitive manufacturing environment where the first stage will successively process different types of items that require different set up modes. Optimal sublot sizes are determined by studying the trade-off between the cost and time spent in restoration and rework. In...