Estimation errors in the inputs are the main problem when applying portfolio analysis, and Markov regime switching models have been shown to reduce these errors. We investigate whether the use of two regime models remains superior across a range of values of risk aversion and transaction costs,...

Motivated by the seasonality found in equity returns, we create a Turn-of-the-Month (ToM) allocation strategy in the U.S. equity market and investigate its value in asset allocation. By using a wide variety of portfolio construction techniques in an attempt to address the impact of estimation...

Using data from the G7 countries, we show that a world-based environmental, social, and governance index (ESGI) provides useful information about future real economic activity in- and out-of-sample. A relatively high increase in ESGI predicts a decrease (increase) in future economic activity in...