We optimize the asset allocation, consumption and bequest decisions of an investor with uncertain lifetime and under time-varying investment opportunities. The asset menu is given by stocks, zero coupon bonds and pure endowments with different maturities. The latter are contingent on either a...

Most portfolio selection rules based on the sample mean and covariance matrix perform poorly out-of-sample. Moreover, there is a growing body of evidence that such optimization rules are not able to beat simple rules of thumb, such as 1/N. Parameter uncertainty has been identified as one major...

This paper analyzes empirically the relation between financial analysts' recommendation profitability and their forecast accuracy and shows that contrary to intuition the group of most successful recommendations is not associated with the highest accuracy on average. The finding that best...

Investors might prefer to consider the problem of minimizing the semivariance of a portfolio given a certain benchmark rather than the variance, as in such case only the downside volatility is considered as risk. However, such optimization framework has received limited attention compared to the...

For a sample of financial intermediaries from the US, we show that corporate value is strongly related to (risk-neutral) option-implied skewness. In contrast, historical (return-based) skewness does not play a role for valuation. We illustrate that the option-implied skewess predicts better...