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We evaluate the out-of-sample performance of the sample-based mean-variance model, and its extensions designed to reduce estimation error, relative to the naive 1/N portfolio. Of the 14 models we evaluate across seven empirical datasets, none is consistently better than the 1/N rule in terms of Sharpe ratio, certainty-equivalent return, or turnover, which(More)
for valuable comments and suggestions. I especially thank Eduardo Schwartz for his guidance and helpful discussions. Abstract This paper studies the effect of competitive interactions on investment decisions and on the dynamics of the price of a non-storable commodity. We develop a model of incremental investment with time to build and operating(More)
The comments of two anonymous referees and of the Editor helped us improve the paper. We acknowledge financial support of the Institut Europlace de Finance. Alfonso Valdesogo acknowledges financial support from the contract " Projet d'Actions de Recherche Concertées " no. 07/12-002 of the " Communauté française de Belgique " , granted by the " Académie(More)
In this paper we present a theory and some empirical evidence on stock price manipulation in the United States. Extending the framework of Allen and Gale (1992), we consider what happens when a manipulator can trade in the presence of other traders who seek out information about the stock's true value. In a market without manipulators, these information(More)
Farmers in mixed crop-livestock systems produce about half of the world's food. In small holdings around the world, livestock are reared mostly on grass, browse, and nonfood biomass from maize, millet, rice, and sorghum crops and in their turn supply manure and traction for future crops. Animals act as insurance against hard times and supply farmers with a(More)
In 2006 all ECB publications feature a motif taken from the €5 banknote. discussions. The usual disclaimer applies. The views expressed in this paper are those of the authors and do not necessarily reflect Telex 411 144 ecb d All rights reserved. Any reproduction, publication and reprint in the form of a different publication, whether printed or produced(More)
We test a conditional international asset pricing model with both world market and domestic risk included as independent pricing factors for five East Asian markets, the US and World markets. We model second moments and risk exposures using a bi-diagonal multivariate GARCH(1,1) process. We document that this novel GARCH specification provides a(More)
Climate changes will have an impact on food production and will require costly adaptive responses. Adapting to a changing environment will be particularly challenging in sub-Saharan Africa where climate change is expected to have a major impact. However, one important phenomenon that is often overlooked and is poorly documented is the ability of(More)