Special Issue "Modern Portfolio Theory"

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Economics".

Deadline for manuscript submissions: 29 February 2020.

Special Issue Editor

Prof. Dr. Stephen Satchell
E-Mail Website
Guest Editor
Business School, The University of Sydney, NSW 2006, Australia
Interests: econometrics; finance; risk measurement; utility theory
Special Issues and Collections in MDPI journals

Special Issue Information

Dear Colleagues,

I am happy to announce that I am editing a Special Issue of JFRM on modern portfolio theory. Whilst papers of quality in the general area will be eligible, the particular themes within this topic will be assessing the role of asset price distributions on portfolio composition and the impact of behavioural concerns. Practitioner papers are especially welcome, although blatant advertising and self-aggrandisement are discouraged. Papers on stock selection or asset allocation are equally welcome, and I would like to see contributions on emerging market portfolio construction. The term “modern portfolio theory” is now rather venerable, so pieces addressing the history of the topic would also be of interest. I hope you will consider this an opportunity for making your work available to a wide audience and look forward to receiving your submissions.

Prof. Dr. Stephen Satchell
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All papers will be peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1000 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • Modern portfolio theory
  • Asset allocation
  • Stock selection
  • Non-normal returns
  • Nonstandard utility

Published Papers (2 papers)

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Research

Open AccessArticle
The Distribution of Cross Sectional Momentum Returns When Underlying Asset Returns Are Student’s t Distributed
J. Risk Financial Manag. 2020, 13(2), 27; https://doi.org/10.3390/jrfm13020027 - 05 Feb 2020
Abstract
In Kwon and Satchell (2018), a theoretical framework was introduced to investigate the
distributional properties of the cross-sectional momentum returns under the assumption that the
vector of asset returns over the ranking and holding periods were multivariate normal. In this
paper, the framework [...] Read more.
In Kwon and Satchell (2018), a theoretical framework was introduced to investigate the
distributional properties of the cross-sectional momentum returns under the assumption that the
vector of asset returns over the ranking and holding periods were multivariate normal. In this
paper, the framework is extended to derive the corresponding results when the asset returns are
multivariate Student’s t. In particular, we derive the probability density function and the moments of
the cross-sectional momentum returns and examine in detail the special case of two underlying assets
to demonstrate that many of the salient features reported in the empirical literature are consistent
with the theoretical implications. Full article
(This article belongs to the Special Issue Modern Portfolio Theory)
Open AccessArticle
The Equity Curve and Its Relation to Future Stock Returns
J. Risk Financial Manag. 2020, 13(2), 19; https://doi.org/10.3390/jrfm13020019 - 21 Jan 2020
Abstract
Using option prices, a new method for estimating the term structure of expected stock returns (equity curve) is proposed. We analyse how the equity curve relates to future stock returns and obtain three main results. First, a higher level of the equity curve [...] Read more.
Using option prices, a new method for estimating the term structure of expected stock returns (equity curve) is proposed. We analyse how the equity curve relates to future stock returns and obtain three main results. First, a higher level of the equity curve is associated with higher future stock returns. Second, a positive slope is followed by future realized returns which are lower in the short term (1 month) than in the long term (1 quarter or 1 year). Third, a steeper slope (either positive or negative) is associated with a larger absolute difference between short-term and long-term returns. Therefore, the equity curve is consistent with theoretical predictions. We also analyse an investment strategy that uses the slope of the equity curve to determine the allocation to stocks. This strategy earns an outperformance of up to 200 basis points per annum. Full article
(This article belongs to the Special Issue Modern Portfolio Theory)
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