In this paper we update our 2006 white paper ldquo;A Quantitative Approach to Tactical Asset Allocationrdquo; with new data from the 2008-2012 period. How well did the purpose of the original paper ndash; to present a simple quantitative method that improves the risk-adjusted returns across...

Minimum market transparency requirements impose hedge fund (HF) managers to use the statement declared strategy in practice. However each declared strategy may actually origin a multiplicity of implemented management decisions. Is then the quot;actual quot;strategy the same as the...

The aim of this paper is to obtain some statistical properties about runs of daily returns of ISE30, ISE50 and ISE100 indices and compare these results with the empirical stylized facts of developed stock markets. In this manner, all time historical daily closing values of these indices are...

For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the Michigan Survey. While these measures have been useful in developing models of forecasting inflation, the data are low frequency...

We study the problem of finding sparse, mean reverting portfolios based on multivariate historical time series. After mapping the optimal portfolio selection problem into a generalized eigenvalue problem, we propose a new optimization approach based on the use of simulated annealing. This new...

We study misaligned prices for logically related contracts in prediction markets. First, we uncover persistent arbitrage opportunities for risk-neutral investors between identical contracts on different exchanges. Examining the impact of several thousand dollars of transactions on the exchanges...

We describe in this paper a method allowing to order submodels in linear regression. A real function is attached to each submodel, allowing to graphically compare and order them. Our procedure defines an objective function depending on two factors (lack of fit and multicolinearity) with the...

An asymptotic test for heteroskedasticity has been developed. The test does not rely on any assumption about heteroskedasticity, and introduces two alternative statistics based on the same idea. Power of these two alternative test statistics has been measured by Monte Carlo simulations. For...