At the heart of the portfolio selection problem lies the challenge of accurately estimating asset expected returns and covariance matrices. The classical Black-Litterman model addresses this challenge by combining market equilibrium and investors' views within the Markowitz mean-variance...

In the realm of investment decision-making, it is widely recognized that effective decision-making necessitates the integration of various knowledge domains. This paper presents a novel approach to estimating investors’ views in the Black-Litterman model by accumulating evidence from various...

For 5,500 North American hedge funds following 11 different strategies, we analyse the stand-alone performance of these strategies using a stochastic discount factor approach. Employing the same data, we then consider the diversification benefits of each hedge fund strategy when combined with a...

For various organizational reasons, large investors typically split their portfolio decision into two stages - asset allocation and stock selection. We hypothesise that mean-variance models are superior to equal weighting for asset allocation, while the reverse applies for stock selection, as...

Cryptocurrency returns are highly non-normal, casting doubt on the standard performance metrics. We apply almost stochastic dominance (ASD), which does not require any assumption about the return distribution or degree of risk aversion. From 29 long-short cryptocurrency factor portfolios, we...

We propose a novel measure of the ex-ante commodity downside-risk premium (CDP) for each commodity based on a term structure model of commodity futures. Our theory-based CDP, capturing forward-looking information in the futures markets, outperforms well-known characteristics in explaining the...