Ferguson and Leistikow [(1997). Journal of Financial Engineering 6, 1–30] (FLa) was the first long-run risk-neutral analysis of the performance volatility incentives created by investment management fee structures. This paper extends FLa in six ways. It allows the portfolio's value to change,...

The insurance business is fraught with problems for which, in many insurance lines, a solution that is acceptable to consumers and leaves the insurance business viable is not likely. We analyze the factors that create this situation. Consumers often view economically viable premiums as too high....

This paper calculates carry costs directly and focuses on the effect that carry cost lumpiness has on hedge variables. It shows that carry cost adjusted price changes should be used to reduce errors in the calculated hedge: ratio, profit, and effectiveness. Results demonstrate that the errors...

Many studies have found that portfolios of low beta stocks have higher growth rates than portfolios of high beta stocks and have concluded that low beta stocks have higher growth rates than high beta stocks. Since rational investor behavior is thought to imply that additional risk is rewarded...

The arithmetic mean-variance efficient frontier shows that taking more risk is always rewarded with higher expected arithmetic return. However, expected arithmetic return is a poor indicator of long-term arithmetic return, which corresponds to expected continuous return. For the continuous...

The arithmetic mean-variance frontier shows that taking more risk is always rewarded with higher expected arithmetic return. This article shows that there is a danger from being too aggressive that is not reflected in the arithmetic return mean-variance frontier because expected arithmetic...

In a recent article in the Financial Analysts Journal, Zvi Bodie [1995] uses a clever insurance paradigm as the justification for assessing stocks' risk as a function of the investment horizon. He concludes that stocks' risk increases monotonically with the investment horizon. This is...