In a recent issue of this Review, Hayne Leland concludes that the risk-averse quantity setting
firm will produce less under uncertainty conditions than it would under certainty, a finding …

… Robert M Korkie …

This article derives and applies a performance measure of a portfolio manager's value-added
called" style pricing." The value-added is obtained by treating the per period payoffs from …

Using results on enlarged filtrations due to Jacod the authors consider a situation in which a
risky asset price is driven by two independent Brownian motions. There are two agents in …

… Robert M Korkie …

… See also Roll [25] and Jobson and Korkie [15] for some suggestions for testing a portfolio's
… The m of S are available in Wishart [35]. Since r and products of the elements of r and S are …

… The appraisal ratio was generalized in Jobson and Korkie (1984), where we dubbed it the
marginal potential performance. The generalization was to the case of private information …

Given a set of N assets a portfolio is determined by a set of weights x i , i = 1, 2, …, N; Σ N i=1
x i = 1 indicating the proportion of the value of the portfolio devoted to each asset. A …

… Korkie and Turtle [48] studied the behavior of investment opportunity sets as the asset
universe expanded from high risk assets to include a continuum of decreasing risk assets limiting …

This year, we received 864 submissions, compared to 903 in 1993. The acceptance rate fell
to 6.13 percent from 7 percent in 1993. However, we have a fair number of papers close to …