We revisit the problem of calculating the exact distribution of optimal investments in a mean variance world under multivariate normality. The context we consider is where problems in optimisation are addressed through the use of Monte-Carlo simulation. Our findings give clear insight as to when...

The purpose of this paper is to use UK pension funds asset allocation information to model the risk attitude of the representative UK pension fund investor. Unlike the previous literature on loss aversion, we find that UK pension funds display risk aversion with respect to gains and to losses....

In the paper the exponential risk measure of Damant and Satchell is used to formulate an investor's utility function and the properties of this function are investigated. The utility function is calibrated for a typical UK investor who would hold different proportions of equity. It is found...

The purpose of this paper is to examine the exact properties of Sharpe's ratio when prices are log-normal. Depending on the definition of returns, different expressions are formed for unbiased estimators of Sharpe's ratio.

A general framework for analysing trading rules is presented. We discuss different return concepts and different statistical processes for returns. We then concentrate on moving average trading rules and show, in the case of moving average models of length two, closed form expressions for the...

The statistical properties of various measures of risk were investigated with a view to explaining the reasons for lack of use in finance of risk measures other than the variance, and to see if there is a sensible measure to use for cross-European comparisons. As examples, the semi-variance, the...

A new framework is provided for identifying market timing. The analysis focuses on the local joint history of the hedge fund with the benchmark. The approach is fully nonparametric. Therefore, it has the advantage of avoiding the misspecification problems so common in this literature. The test...

Using an extensive range of macroeconomic indicators and a number of two-stage models mixing OLS and a non-parametric approach known as the nearest neighbour algorithm, the authors analyse the potential for improving forecasts of US industry returns over those built by OLS on industry-specific...