Does Corporate Social Responsibility (CSR) matter for the cross section of stock returns ? Constructing a CSR factor long irresponsible firms and short responsible ones, we show that CSR is pervasive in the cross section of the returns of portfolios sorted on size and book to market, momentum,...

We analyze the effects of asset return predictability at various horizons on an individual's portfolio strategy and welfare gains as measured by a certainty equivalent return rate, for long term investors. We use a method to account for long horizon predictability that does not make violence to...

We develop a two-good asset pricing model with non-housing and housing consumption. Composition risk aversion stemming from the presence of housing consumption is a priced factor which brings about time variation and thus predictability of interest rates and risk premia. The slopes of the term...

We provide a new portfolio decomposition formula that sheds light on the economics of portfolio choice for investors following the mean-variance (MV) criterion. We show that the number of components of a dynamic portfolio strategy can be reduced to two: the first is preference free and hedges...

After seventy years with no changes to short sale regulation, the United States Securities and Exchange Commission intervened three times with regulatory action from July 2007 through October 2008. The Commission first loosened restrictions on short sales by repealing the “Uptick Rule” in...

We solve for the time consistent dynamic asset allocation of an investor with a mean variance objective function in a multiple assets affine setting. We use as a benchmark the pre-commitment strategy widely used in the literature and assess the potential welfare gains from pre-commitment by...

Regularization for portfolio construction is shown to be equivalent to combining the unconstrained portfolio with a long - short portfolio. The latter is not correlated with the unconstrained portfolio which leads the constrained portfolio to have a beta of one with respect to the unconstrained...