Do constraints improve portfolio performance?

Article Abstract:

Research using a discrete-time dynamic investment model is presented, with and without constraints on the combination of risk associated with the investments, with focus on the effect of constraints on the returns.

Research, Economic policy, Investments

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Value-at-risk versus expected shortfall: a practical perspective

Article Abstract:

A study of credit portfolio and foreign exchange rates for financial risk measurement shows that the sample size required for VaR is smaller than that required in Expected Shortfall.

Japan, Portfolio Management, Venture Analysis, Methods, Risk assessment, Foreign exchange, Foreign exchange rates, Comparative analysis

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The unintended consequences of grouping in test of asset pricing models

Article Abstract:

The unintended outcomes of grouping when the capital asset pricing model is true and when it is false are discussed.

Group theory, Capital assets pricing model, Capital asset pricing model, Global economy, Groups (Mathematics)

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