Many portfolio managers use options in their investment strategy, yet the issue of performance measurement for such portfolios remains unresolved. This study examines the nature of risk for option affected portfolios and identifies appropriate risk measures for them. We find that the main issue...

Various risk estimation methods have been proposed in response to evidence that risk is changing. We investigate the effect of alternative risk-estimation methods in the context of asset-allocation decisions that seek to minimize portfolio risk. The risk measures considered include the...

Since the floating of the Australian dollar the forecasting of exchange rate movements has become more difficult and received much more attention. As a result, some participants in the foreign exchange market have, on a number of occasions, come under criticism for their inability to predict...

The two recently developed Australian indexes of leading indicators have received much attention in the press. Despite this, relatively little is known about their usefulness in forecasting the associated indexes of coincident indicators (i.e., measures of the business cycle) or any activity...