Portfolio choice beyond the traditional approach

This paper surveys asset allocation methods that extend the traditional approach. An important feature of the the traditional approach is that measures the risk and return tradeoff in terms of mean and variance of final wealth. However, there are also other important features that are not always made explicit in terms of investor s wealth, information, and horizon: The investor makes a single portfolio choice based only on the mean and variance of her final financial wealth and she knows the relevant parameters in that computation. First, the paper describes traditional portfolio choice based on four basic assumptions, while the rest of the sections extend those assumptions. Each section will describe the corresponding equilibrium implications in terms of portfolio advice and asset pricing.

Report on the City of Hazleton for the period January 1, 2008 through November 30, 2008

Report on the City of Hazleton for the period January 1, 2008 through November 30, 2008

Report on a special investigation of the Fairfield Parks and Recreation Department (Parks and Recreation) for the period January 1, 2007 through April 8, 2008

Report on a special investigation of the Fairfield Parks and Recreation Department (Parks and Recreation) for the period January 1, 2007 through April 8, 2008

Special investigation of the Cedar Rapids Veterans Memorial Commission and Valor, Inc. (Valor) for the period January 1, 2006 through October 31, 2007

Special investigation of the Cedar Rapids Veterans Memorial Commission and Valor, Inc. (Valor) for the period January 1, 2006 through October 31, 2007

Report on a special investigation of the Assistant Director of the Camp Adventure program at the University of Northern Iowa for the period January 1, 2006 through March 31, 2008

Report on a special investigation of the Assistant Director of the Camp Adventure program at the University of Northern Iowa for the period January 1, 2006 through March 31, 2008

Special investigation of the Monticello Ambulance Service for the period July 1, 2005 through November 9, 2007

Special investigation of the Monticello Ambulance Service for the period July 1, 2005 through November 9, 2007

Report on a special investigation of the Engineering Communications and Marketing Department (ECM) of Iowa State University of Science and Technology for the period January 1, 2003 through December 31, 2007

Report on a special investigation of the Engineering Communications and Marketing Department (ECM) of Iowa State University of Science and Technology for the period January 1, 2003 through December 31, 2007

Agreed upon procedures report on the City of Ralston, Iowa for the period July 1, 2007 through August 31, 2008

Agreed upon procedures report on the City of Ralston, Iowa for the period July 1, 2007 through August 31, 2008

Report on a special investigation of the City of Ames Electric Department for the period July 1, 2003 through January 7, 2008

Report on a special investigation of the City of Ames Electric Department for the period July 1, 2003 through January 7, 2008

Report on a special investigation of the Wayne County Conservation Department for the period July 1, 2005 through July 30, 2008

Report on a special investigation of the Wayne County Conservation Department for the period July 1, 2005 through July 30, 2008

Special report on the Dunkerton Community School District for the period July 1, 2005 through December 31, 2008

Special report on the Dunkerton Community School District for the period July 1, 2005 through December 31, 2008

Special investigation of Jasper County Transit for the period April 1, 2004 through April 1, 2006

Special investigation of Jasper County Transit for the period April 1, 2004 through April 1, 2006

New findings regarding return autocorrelation anomalies and the importance of non-trading periods

In this paper, differences in return autocorrelation across weekdays havebeen investigated. Our research provides strong evidence of the importanceon non-trading periods, not only weekends and holidays but also overnightclosings, to explain return autocorrelation anomalies. While stock returnsare highly autocorrelated, specially on Mondays, when daily returns arecomputed on a open-to-close basis, they do not exhibit any significantlevel of autocorrelation. Our results are compatible with theinformation processing hypotheses as an explanation of the weekendeffect.

Special investigation of the Searsboro Volunteer Fire/EMS Department for the period February 8, 2005 through September 21, 2008

Special investigation of the Searsboro Volunteer Fire/EMS Department for the period February 8, 2005 through September 21, 2008

Report on a review of selected general and application controls over the Iowa Department of Transportation’s Contractor Pay System for the period May 5, 2008 through July 31, 2008

Report on a review of selected general and application controls over the Iowa Department of Transportation’s Contractor Pay System for the period May 5, 2008 through July 31, 2008