As the year goes by, many market participants form expectations as to the effect of certain months on financial markets. Be it the summer doldrums, where trading volume decreases and price action subsides to the January effect, where most expect equity prices to rise in the month. These and...

Markowitz's (1952) portfolio theory has permeated financial institutions over the past 50 years. Assuming that returns are normally distributed, Markowitz suggests that portfolio optimization should be performed in a mean-variance framework. With the emergence of hedge funds and their...