We Consider Four Utility Functions, Each Of Which Incorporates A Benchmark To Better Capture The Motivations Of Today's Portfolio Managers. Assuming Instrument Returns Are Normally Distributed, We Establish Conditions Under Which Optimal Portfolios For These Utilities Are Mean-Variance Efficient...

Hedge funds typically have non-normal return distributions marked by significant positive or negative skewness and high kurtosis. Mean-variance optimization models ignore these higher moments of the return distribution, and thus fail to convince investors who care about the unwanted skewness and...

The following research presents new properties of cointegrated time series that serve as a basis for a novel high frequency trading strategy. The expected profit of this strategy is always positive. Its practical implementation is illustrated using the daily closing prices of four world stock...

This paper proposes a novel approach for modeling prepayment rates of individual pools of mortgages. The model incorporates the empirical evidence that prepayment is past dependent via Bayesian methodology. There are many factors that influence the prepayment behavior and for many of them there...

We consider four utility functions, each of which incorporates a benchmark to better capture the motivations of today's portfolio managers. Assuming instrument returns are normally distributed, we establish conditions undr which optimal portfolios for these utilities are mean-variance efficient...