We study the effects of correlation ambiguity on portfolio choice in a market with multiple risky assets. We find that the optimal portfolio contains only a fraction of risky assets under correlation ambiguity, and in particular, just one risky asset enters the optimal portfolio if the level of...

We explicitly solve for the optimal dynamic strategy between a riskless asset and a risky asset with momentum. The optimal portfolio weight depends not only on momentum that characterizes the expected return as in Merton (1971) framework, but also on the historical price path, unlike in Merton....

Investor sentiment affects stock market liquidity by affecting noise trading and irrational market makers. Previous studies have focused on this effect with the time-series variation in sentiment and liquidity. This paper utilizes firm-specific news sentiment (FSNS) to examine its effect on...