Investments eJournal最新文献

{"title":"Data (and) Responsibility","authors":"Anna Grosman, Simon J. D. Schillebeeckx, Rashik Parmar, Jakob Haesler","doi":"10.2139/ssrn.3784910","DOIUrl":"https://doi.org/10.2139/ssrn.3784910","url":null,"abstract":"We investigate the role firms play in dealing with data protection. We draw parallels between the ethical challenges regarding data capabilities and other social issues that over time have instigated the evolution of corporate responsibilities. Our contention is that we can learn from the history of social issues in management and corporate social responsibility to clarify under which conditions new issues become the prerogative of firm social responsibility. Our review suggests that issues evolve into responsibilities if the value creation potential underlying the issue is significant (condition) and if specific pivotal events (trigger) heighten attention from policy makers and civil society. We examine under which conditions organizations assume new responsibilities to either create value from data or attenuate the risk of value destruction.","PeriodicalId":377322,"journal":{"name":"Investments eJournal","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129213782","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Biases in International Portfolio Allocation and Investor Protection Standards","authors":"Frank O. Kwabi, Chandra Thapa, K. Paudyal, Emmanuel Adegbite","doi":"10.2139/ssrn.3507419","DOIUrl":"https://doi.org/10.2139/ssrn.3507419","url":null,"abstract":"Economic reasoning suggests that financial globalization that encourages optimal international portfolio investments should improve investor protection standards (IPS) of a country. In practice, however, investors manifest varying degrees of suboptimal international portfolio allocations. Using a panel dataset covering 44 countries spanning over 15 years we examine whether suboptimal equity portfolio allocation in part is associated with the cross-country variations in IPS. Consistent with economic reasoning we find robust indications that international portfolio allocation may play an important role in the development of IPS. More specifically, the quality of IPS improves with higher degrees of optimal international equity portfolio allocation of domestic and foreign investors.","PeriodicalId":377322,"journal":{"name":"Investments eJournal","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114895581","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Lifetime Active Portfolio Selection for Investments and Consumption – A Bull Bear Market Cycle Based Probabilistic Approach","authors":"Z. George Yang","doi":"10.2139/ssrn.3168599","DOIUrl":"https://doi.org/10.2139/ssrn.3168599","url":null,"abstract":"Beyond the single period Modern Portfolio Theory (Markowitz, 1955), the seminal work by Robert C. Merton (1969) solved elegantly a multi-period (finite time horizon) continuous portfolio optimization problem under the random walk market assumption. Due to the mathematical challenges, there has been little further theoretical breakthrough in nearly half century. Instead, popular financial planning and investment practice such as time diversification and target-date/glide-path based funds, deviate from the Merton/Samuelson’s teachings of long term static allocation. From a more realistic view of capital market and financial planning economics, what is the right asset allocation policy for lifetime investments and consumption? In this study, I replace the simplified stock market assumption in the classical Merton model with a Markov chain Bull/Bear market regime switching formulation (Wonham, 1965). The bull or bear market probability is calculated based on the price history of a broad market index such as the S&P 500 Composite. To maximize the total utility of discounted consumptions and bequest wealth value at the end of lifetime planning horizon, I derive a quantitative portfolio selection rule. It turns out that dynamic weight to risky asset is approximated solely as a quadratic function of the conditional bull market probability. From a market timing perspective, the active probabilistic rule has both trend following and mean reversion mechanisms at different stages of the anticipated market cycle. For practical purposes, I demonstrate the analytical approach in two sets of back-tests under different investment/consumption preferences. First, for a pure investor with zero consumption requirements, the objective reduces to maximizing terminal wealth. I found the optimal dynamic investment leverage or exposure to a risky stock market index depends not only on investor risk preference and the index’s average attributes of market return premium and volatility, but also the “strength” of the bull/bear market cycles, and the point-in-time market regime probability itself. Second, random walk or bull/bear market characteristics assume no impact on how an investor values the utility of his/her bequest wealth relative to lifetime consumption. In this case, the probabilistic portfolio selection is shown to out-perform easily in total utilities either the buy-and-hold static allocation or a typical linearly de-risking target-date glide path. By integrating the cyclical capital market view into a multi-period portfolio optimization framework, the current probabilistic formulation is ground breaking, despite the need for further refinement and analysis. With a fast changing landscape in global markets, the current approach of market cycle based dynamic allocation and active management is particularly important. It has the potential to seriously impact the theory and practice of investment management and financial planning, for the long term.","PeriodicalId":377322,"journal":{"name":"Investments eJournal","volume":"72 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121711236","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"On the Disclosure of the Costs of Investment Management","authors":"D. Blake","doi":"10.2139/ssrn.3612994","DOIUrl":"https://doi.org/10.2139/ssrn.3612994","url":null,"abstract":"This paper argues that no good reasons have been put forward for why all the costs of investment management, both visible and hidden, should not ultimately be fully disclosed. They are after all genuine costs borne by the investor. Furthermore, recent studies have shown that hidden costs are at least as high as visible costs, if not much higher. Full transparency could be introduced in stages.","PeriodicalId":377322,"journal":{"name":"Investments eJournal","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126982044","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A Comparative Study on Portfolio Evaluation Measures with Respect to Equity Growth Mutual Funds","authors":"Nagendra Marisetty","doi":"10.2139/ssrn.3774294","DOIUrl":"https://doi.org/10.2139/ssrn.3774294","url":null,"abstract":"Risk and return go together. For a higher return, one has to take a higher risk. Risk cannot be avoided but definitely can be minimized through diversification. Mutual funds do risk diversification by investing in various companies. But still, they have to face risk when the markets are highly volatile. Investor’s perception towards risk and return is continuously changing. To diversify the risk, the investors choose the best fund to get more return. Investors use various evaluation measures like Sharpe, Treynor, and Jensen measures, for selecting the best fund to minimize the risk and maximize the return. Is all evaluation measure giving the same proposal to the investor? To know this, Research is focusing the Comparative study on various portfolio evaluation measures with respect to equity growth mutual funds.","PeriodicalId":377322,"journal":{"name":"Investments eJournal","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122397152","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Using AI and Behavioral Finance to Cope with Limited Attention and Reduce Overdraft Fees","authors":"Dan Ben-David, Ido Mintz, Orly Sade","doi":"10.2139/ssrn.3422198","DOIUrl":"https://doi.org/10.2139/ssrn.3422198","url":null,"abstract":"In a field experiment using Mint, a personal financial management application operating in the United States and Canada, we investigate mechanisms to reduce overdraft fees. A sample of users identified via an AI algorithm developed by Mint as having a propensity for overdraft were sent alert notices to test the efficacy of the different framings in reducing the number of overdraft fees. We employ parametric identifications, as well as time-to-event semi-parametric analysis to learn that sending a reminder proved effective in and of itself, and the impact was significantly enhanced by simplifying the message. A negative framing of the simplified version elicited greater engagement and had stronger impact than a positive framing. Significant effects were obtained predominantly among the population with medium to high annual incomes. We relate our findings to the literature on limited attention and the ostrich phenomenon. Our work also contributes to the literatures on fintech, artificial intelligence, and human interaction.","PeriodicalId":377322,"journal":{"name":"Investments eJournal","volume":"1996 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125572928","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}