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Purpose – The paper aims to examine the performance of Spanish mutual funds between 1999 and 2003. Design/methodology/approach – The methodolgy uses the stochastic discount factor (SDF) framework across a variety of models developed in the recent asset pricing literature. This approach is a...
Purpose – The paper is aimed at modelling time varying betas via a state space representation in order to decompose the marginal contribution to risk of downside and upside deviations of asset returns in portfolio optimisation. Design/methodology/approach – The approach enables to take into...
Purpose – This paper aims to explore how fund managers (FMs) deal with major problems of ignorance and uncertainty in stock selection and in asset allocation decisions. Design/methodology/approach – Interviews were conducted with 40 fund managers in the period October 1997 to January 2000. A...
Purpose – This paper seeks to investigate the usefulness of analysts’ earnings forecast revisions in the allocation of funds to different industries and countries. In particular, it asks whether a post analyst revision announcement drift in prices can be exploited to guide an asset allocation...
Purpose – The purpose of this paper is to study the asset allocation problem for a pension fund which maximizes the expected present value of its wealth augmented by the prospective mathematical reserve at the death time of a representative member. Design/methodology/approach – The paper applies...
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