A comprehensive description of the trading and statistical characteristics of VIX futures and their exchange-traded notes motivates our study of their benefits to equity investors seeking to diversify their exposure. We analyze when diversification into VIX futures is ex-ante optimal for...

A factor analysis-based approach for estimating high dimensional covariance matrix is proposed and is applied to solve the mean–variance portfolio optimization problem in finance. The consistency of the proposed estimator is established by imposing a factor model structure with a relative weak...

The concepts of portfolio optimization and diversification have been instrumental in the development and understanding of financial markets and financial decision making. In light of the 60year anniversary of Harry Markowitz’s paper “Portfolio Selection,” we review some of the approaches...

This paper deals with cross section dependence, homogeneity restrictions and small sample bias issues in dynamic panel regressions. To address the bias problem we develop a panel approach to median unbiased estimation that takes account of cross section dependence. The new estimators given here...

In this paper the betting on baseball games from April 8, 1987 to May 12, 1987 attributed to Pete Rose in the Dowd Report to the Commissioner of Baseball is analyzed. The results show Rose lost $4,200 betting on the Cincinnati Reds, the team which he managed; $36,000 betting on other teams in the...

An alternative definition for market efficiency, based on econometric rather than financial arguments is suggested. It is argued that this new definition, though equivalent to the existing one, has some comparative advantages. Moreover, the conditions under which the results from the application...

A growing body of recent evidence suggests that premiums for financial options might be too high. For agricultural options, market participants often make similar claims, however there is very limited scientific literature to prove or disprove such claims. This research investigates the...

Economic change and market dynamics have fundamentally altered the structure and performance of agricultural markets in the United States, Canada, and Mexico within the last 25 years. Many factors have helped shape the current North American food and fiber system, including technological change,...