We examine whether investors can improve their investment opportunity sets through the addition of volatility-related assets into various groupings of benchmark portfolios. By first analyzing the weekly returns of three VIX-related assets over the period 1996-2008 and then applying mean-variance...

This article presents a log‐transformed trinomial approach to option pricing and finds that various numerical procedures in the option pricing literature are embedded in this approach with choices of different parameters. The unified view also facilitates comparisons of computational...

This study proposes a resources deployment portfolio (RDP) approach to decomposing return on equity (ROE) for business analysis. The five components are return on operating equity (RoOE), return on financial equity (RoFE), return on other equity (RoXE), return on influencing equity (RoIE), and...