Cochrane and Piazzesi (2005) use forward rates to forecast future bond returns. We extend their approach by applying their model to international bond markets. Our results indicate that the unrestricted Cochrane and Piazzesi (2005) model has a reasonable forecasting power for future bond...

We develop a framework for partially hedging the market risk of oil reserves through appropriately allocating financial assets in 'oil revenue' or 'petroleum' funds. Empirically, the hedge potential is substantial even when using relatively coarse partitions of the investment universe, such as...

Many investment firms reward portfolio managers based on their performance. This article investigates a manager's optimal active risk policy using stochastic programming techniques. Our multiple-period model incorporates the most common incentive-fee structures, and captures the risk that the...

Portfolio resampling is a very general and powerful technique to show the dispersion of optimized portfolio weights that arises from estimation error in inputs. Investors should however be aware of potential pitfalls when applying resampling techniques in order to arrive at better portfolios as...

A well-understood fact of asset allocation is that the traditional portfolio optimization algorithm is too powerful for the quality of the inputs. Recently, a new concept called quot;resampled efficiencyquot; has been introduced into the asset management world to deal with estimation error. The...

Disappointed with the performance of market weighted benchmark portfolios yet skeptical about the merits of active portfolio management, investors in recent years turned to alternative index definitions. Minimum variance investing is one of these popular concepts. I show in this paper that the...