Some investors may benefit from using measures of risk other than the variance in their investment decisions, specially if they are concerned with minimizing the downside risk of their portfolios. An accessible numerical method for calculating hedge ratios given any measure of risk is presented....

This article investigates the modelling of style returns in the United States and the returns to style 'tilts' based on forecasts of enhanced future style returns. We use hidden Markov model to build our forecasts for data from 1975 to 1998. We do not include more recent observations as the...