In this article, we show that performance attribution considered alone can be misleading. Indeed, a portfolio manager who knows perfectly the distribution of asset's returns and who performs a relative portfolio optimization according to that information, may be penalized in some of her choices...

Leveraged and inverse ETFs are designed to achieve a multiple exposure (positive or negative, e.g., 2x or -2x) of some index returns on a daily basis. Recently, some controversy surrounding leveraged ETFs has appeared in the U.S. market and focused mainly on the performance results delivered by...

This paper examines the equilibrium of portfolio under insurance constraints on the terminal wealth. We consider a single period economy in which agents search to maximize the expected utilities of their terminal wealths. Both partial and general optimal financial equilibria are determined and...

The purpose of this article is to introduce, analyze and compare two performance participation methods based on a portfolio consisting of two risky assets: Option-Based Performance Participation (OBPP) and Constant Proportion Performance Participation (CPPP). In contrast to standard portfolio...