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This article investigates four models for minimizing the tracking error between the returns of a portfolio and a benchmark. Due to linear performance fees of fund managers , we can argue that linear deviations give a more accurate description of the in-vestorsÕ risk attitude than squared deviations. All models have in common that absolute deviations are(More)
The International Center for Financial Asset Management and Engineering (FAME) is a private foundation created in 1996 at the initiative of 21 leading partners of the finance and technology community together with three Universities of the Lake Geneva Region interested in a wider dissemination of their ideas, in practitioners' circles in particular. •(More)
This paper presents an intertemporal portfolio selection model for pension funds that maximize the intertemporal expected utility of the surplus of assets net of liabilities. Following Merton (1973) it is assumed that both the asset and the liability return follow Itô processes as functions of a state variable. The optimum occurs for investors holding four(More)
Price movements in many commodity markets exhibit significant seasonal patterns. In this paper, we study the effects of seasonal volatility on models' option pricing performance. In terms of options pricing, a deterministic seasonal component at the price level can be neglected. In contrast, this is not true for the seasonal pattern observed in the(More)
BACKGROUND Limited research is available that examines the nutritional behaviour and health of hotel staff working alternating and regular shifts. AIMS To analyse the nutritional behaviour and health of employees working in alternating and regular shifts. METHODS The study used an ex post facto cross-sectional analysis to compare the nutritional(More)
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