Financial disasters to hedge funds, bank trading departments and individual speculative traders and investors seem to always occur because of non-diversification in all possible scenarios, being overbet and being hit by a bad scenario. Black swans are the worst type of bad scenario: unexpected...

This paper extends Merton’s continuous time (instantaneous) mean-varianceanalysis and the mutual fund separation theory. Given the existence of a Marko-vian state price density process, the optimal portfolios from concave utility max-imization are instantaneously mean-variance efficient...

Financial disasters to hedge funds, bank trading departments and individual speculative traders and investors seem to always occur because of non-diversification in all possible scenarios, being overbet and being hit by a bad scenario. Black swans are the worst type of bad scenario: unexpected...

The January effect is concerned with high stock returns in January, especially by small cap stocks. Transactions costs, especially price pressures, make it difficult to take advantage of this anomaly. However, these costs are minimal in the futures markets. This paper discusses the results of...

The Kelly Capital Growth Investment Strategy (KCGIS) is to maximize the expected utility of nal wealth with a logarithmic utility function. This approach dates to Bernoulli's 1738 suggestion of log as the utility function arguing that marginal utility was proportional to the reciprocal of...

Pension funds typically suggest the 60-40 stock-bond rule to lower risk as during stock market declines bonds tend to rise. However, US investment returns have been presidential party dependent; and returns in the last two years of all administrations exceed those in the first two years. The...

The period May 1 to the turn of the month of November (last five trading days October) has historically produced negligible returns. The rest of the year (late October to the end of April) has essentially all the year's gains. In this paper we show that there is a statistically significant...

This paper presents a dynamic model of optimal currency returns with a hidden Markov regime switching process. We postulate a weak form of interest rate parity that the hedged risk premiums on currency investments are identical within each regime across all currencies. Both the in-sample and the...

This paper develops useful theory of arbitrage and risk arbitrage. It describes a prize winning successful risk arbitrage involving Nikkei put warrants trading on the Toronto and American stock exchanges. The paper describes the various types of contracts and how the risk arbitrage was traded...

This paper categorizes investors into five groups. They are: efficient markets, risk premium, genius superior traders, rejectors of efficient market theory and those who use research to make superior risk adjusted returns. Successful investment involves estimation and optimization and these are...