The research using artificial intelligence (AI) applications in HRM functional areas has
gained much traction and a steep surge over the last three years. The extant literature …

This paper reviews the literature on Bayesian portfolio analysis. Information about events,
macro conditions, asset pricing theories, and security-driving forces can serve as useful …

The concepts of portfolio optimization and diversification have been instrumental in the
development and understanding of financial markets and financial decision making. In light …

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 …

Economists have long recognized that investors care differently about downside losses
versus upside gains. Agents who place greater weight on downside risk demand additional …

Markowitz's portfolio theory is one of the most important theoretical developments in finance.
Its elegance and theoretical appeal are illustrated by the fact that it is taught in virtually every …

In this paper, we analytically derive the expected loss function associated with using sample
means and the covariance matrix of returns to estimate the optimal portfolio. Our analytical …

The modern portfolio theory pioneered by Markowitz (1952) is widely used in practice and
extensively taught to MBAs. However, the estimated Markowitz portfolio rule and most of its …

We develop a model for an investor with multiple priors and aversion to ambiguity. We
characterize the multiple priors by a “confidence interval” around the estimated expected …

The influence of socially responsible investment (SRI) has caused much attention from both
institutional and individual investors in capital markets. SRI considers the corporate social …