We investigate whether the returns of some industry portfolios predict the returns of other industry portfolios. We find a strong lead-lag structure which is statistically and economically significant. These findings suggest that information diffuses only gradually across industries. Moreover,...

We investigate the diversification benefits of combining commodities with a traditional equity portfolio, while considering higher order statistical moments and seasonality. The literature suggests that the in-sample diversification benefits of commodities in portfolio optimization are not...

In the basic Markowitz and Merton models, a stock's weight in efficient portfolios goes up if its expected rate of return goes up. Put differently, there are no financial Giffen goods. By an example from mortgage choice we illustrate that for more complicated portfolio problems Giffen effects do...

Homebuyers in several countries may finance the purchase of their properties using different variants of either adjustable-rate mortgages (ARMs) or fixed-rate mortgages (FRMs). The variety and complexity of these loan products poses a risk management task for mortgage bank advisors to recommend...

We combine a dynamic programming approach (stochastic optimal control) with a multi-stage stochastic programming approach (MSP) in order to solve various problems in personal finance and pensions. Stochastic optimal control produces an optimal policy that is easy to understand and implement....