We investigate whether alternative asset classes should be included in optimal portfolios of the most prominent investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss Averse types of investors. We develop a stochastic spanning...

In Part 1 a simple market timing algorithm was described that switches from an exchange traded fund representing U. S. equities (SPY) to one holding treasury long bonds (TLT) every month on the last day, the switch being made to whichever ETF has the greatest ratio of current adjusted closing...

We introduce a flexible utility-based empirical approach to directly determine asset allocation decisions between risky and risk-free assets. This is in contrast to the commonly used two-step approach where least squares optimal statistical equity premium predictions are first constructed to...

In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector autoregressive models. We propose using Lasso-type estimators to reduce the dimensionality to a manageable one and provide strong theoretical performance guarantees on the forecast...

In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector autoregressive models. We propose using Lasso-type estimators to reduce the dimensionality to a manageable one and provide strong theoretical performance guarantees on the forecast...

Optimal portfolios with a restriction on the number of assets, also referred to as cardinality-constrained portfolios, have been receiving attention in the literature due to its popularity among market practitioners and retail investors. In most cases, however, the interest is in proposing...

Portfolio managers and individual investors alike are in quest of efficient asset allocation models that simultaneously express environmental, social, and governance (ESG) considerations along with investor behavioral biases. The current study presents a novel approach to optimize the behavioral...

This paper investigates a hedge and safe haven asset for Bitcoin investors. Bitcoin has been receiving high attention from finance investors because of its high upside return and volatility. The recent finance literature focused upon Bitcoin characteristics as an alternative asset. We take...

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...

This paper examines the style-based feedback trading behavior of mutual fund managers. We provide an empirical version of the model for style-switching behavior of Barberis and Shleifer (2003). We find style-based feedback trading for 77% of the funds, half of which is positive- (negative-)...