The general mean-semivariance portfolio optimization problem seeks to determine the
efficient frontier by solving a parametric non-quadratic programming problem. In this paper it is …

The problem of maximizing the expected utility from terminal wealth is well understood in
the context of a complete financial market. This paper studies the same problem in an …

Stock selection models often use analysts’ expectations, momentum, and fundamental data.
We find support for composite modeling using these sources of data for global stocks during …

Comparing Japanese and US securities market, the paper shows that survivor bias affecting
quantitative analysis is relatively minor in Japan and substantial in the US The realized …

The intestinal microbiota shape the host immune system and influence the outcomes of various
neurological disorders. Arteriosclerotic cerebral small vessel disease (aCSVD) is highly …

… In a companion paper, Xu and Shreve (1992), we examine … This paper and Xu and Shreve
(1992) examine the model in … Both this paper and Xu and Shreve (1992) are derived from …

Background Hepatitis B surface antigen (HBsAg) seroclearance marks regression of
hepatitis B virus (HBV) infection. However, more than one‐fifth of patients with functional cure …

Financial anomalies have been studied in the United States. Recent evidence suggests that
financial anomalies have diminished in the United States and possibly in non-US portfolios. …

The investment policy that worked best in the past may not work as well in the future; it may
have been best in the past in part because it was lucky rather than because it is best in fact. If …

A continuous-time, consumption/investment problem with constant market coefficients is
considered on a finite horizon. A dual problem is defined along the lines of Part 1. The value …