The Markowitz mean-variance optimizing framework has served as the basis for modern portfolio theory for more than 50 years. However, efforts to translate this theoretical foundation into a viable portfolio construction algorithm have been plagued by technical difficulties stemming from the...

In many economic contexts, a given function can be disaggregated as a linear combination of gradients. Examples include the literature on the characterization of aggregate demand and excess demand, as initiated by Sonnenschein (1973ab), and the model of efficient household behaviour recently...

This paper aims at increasing our insights into the way financial markets respond to news. We view the market as a (nonlinear) filter of news on fundamentals. A stylized version of this situation is obtained by considering by a time dependent dividend rate which is driving the market. To model...

This paper prepared for the Handbook of Statistics (Vol.14: "Statistical Methods in Finance"), surveys the subject of stochastic volatility. the following subjects are covered: volatility in financial markets (instantaneous volatility of asset returns, implied volatilities in option prices and...

Since the Finnish unemployment rate has rocketed to a very high level in the beginning of the 1990?s it is worth to study to what extent the unemployment rate prevailing today is due to cyclical or to structural reasons. In this paper we try to estimate two different indicators that represent...

Do well-functioning stock markets and banks promote long-run economic growth? Recent studies answer this important question in the affirmative. This paper presents a reasonable extreme bounds analysis of the empirical relationships between the financial system and economic growth as well as the...

This paper proposes a Bayesian method of performance evaluation for investment managers. We begin with a flexible set of prior beliefs that can be elicited without any reference to probability distributions or their parameters. We then combine these prior beliefs with a general multi-factor...

Mixture sets were introduced by Herstein and Milnor (1953) into decision theory, where they are still widely used. This note clarifies the formal connection between mixture sets and convex sets. The results suggest that the former concept might be unnecessary for decision- theoretic purposes.

En se basant sur une revue de la litterature couvrant les dix dernieres annees, ce texte expose l'evolution de la conceptualisation de l'orientation marche. Une synthese des resultats des recherches empiriques les plus importantes sur les antecedents et les consequences de l'orientation marche...