COSMO-based process simulations with Aspen Plus/Aspen HYSYS are used, for the first time, to a priori estimate the thermodynamic performance of ammonia absorption refrigeration cycles using ionic liquids as absorbents. This allows not only broadening the criteria set used to select/design ionic...

This article analyses the effect of short-selling constraints on market volatility. Between 2011 and 2012, two different types of short-sale bans were imposed on the Spanish stock market: first, a partial ban on financial companies, and later, a total ban affecting all stocks. Using panel data...

Since the price of gold began climbing dramatically over a decade ago, gold-related industries have received a great deal of attention from investors. Moreover, investing in gold mutual funds has become a promising alternative to investing in gold directly because of the inherent difficulties...

Purpose – The paper aims to examine the performance of Spanish mutual funds between 1999 and 2003. Design/methodology/approach - The methodolgy uses the stochastic discount factor (SDF) framework across a variety of models developed in the recent asset pricing literature. This approach is a...

Recent asset pricing studies demonstrate the relevance of incorporating coskewness in asset pricing models, and illustrate how this component helps to explain the time variation of ex-ante market risk premiums. This paper analyzes the role of coskewness in mutual fund performance evaluation and...

This study analyses, from an investor's perspective, the performance of several risk forecasting models in obtaining optimal portfolios. The plausibility of the homoscedastic hypothesis implied in the classical Markowitz model is dicussed and more general models which take into account assymetry...

Some researchers and many practitioners have move from the classic mean-variance (Markowitz, 1959) portfolio theory to a new portfolio optimization framework based on downside-risk measures that are more appropriate to the investor’s preferences. Moreover, several studies (Friedman and...