… Instead, we examine the more modest question of whether different methods for constructing
reference portfolios lead to different conclusions about the relative performance of mutual …

… BN Lehmann and DM Modest, Empirical basis of the arbitrage … N Lehmann and DM Modest,
Empirical basis of the arbitrage … N Luhmann and DM Modest, Empirical basis of the arbitrage …

A fundamental equilibrium condition underlying most utility-based asset pricing models is
the equilibration of intertemporal marginal rates of substitution (IMRS). Previous empirical …

… In fact, as pointed out by Modest (1984a), the small-sample likelihood ratio test of /? = 0 for
binary X(t) … Simulation results presented in Modest (1984b) also suggest that impact should be …

Trading in financial futures currently accounts for roughly 35% of all futures contracts, and it
promises to become an even larger share of the market.

The trading mechanism for equities on the Tokyo Stock Exchange (TSE) stands in sharp
contrast to the primary mechanisms used to trade stocks in the United States. In the United …

This paper investigates the use of futures prices in making production decisions. We derive
a preference-independent production rule for firms that face both demand and production …

Nontrivial diversification possibilities arise when a factor model describes security returns.
This paper catalogs the merits of alternative strategies for constructing basis portfolios to …

… portfolio formation procedures and estimation methods in Lehmann and Modest(1985a).
We begin with a brief report on the outcome of that investigation. In Lehmami and Modest(1985a…

… While fixed-income arbitrage has one of the largest ETL betas, no strategy has a lower
volatility beta (0.24)—reflecting its modest portfolio weight and its volatility during noncrisis …