GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...

In the context of modern portfolio theory, we compare the out-of-sample performance of 8 investment strategies which are based on statistical methods with the out-of-sample performance of a family of trivial strategies. A wide range of approaches is considered in this work, including the...

Financial advisors typically recommend that a long-term investor should hold a higher percentage of his wealth in stocks than a short-term investor. However, part of the academic literature disagrees with this advice. We use a spatial dominance test which is suited for comparing alternative...

This paper derives and tests the cross-sectional predictions of an intertemporal equilibrium asset pricing model with generalized disappointment aversion and time-varying macroeconomic uncertainty. To the contrary of the existing literature, disappointment may result not only from a fall in the...

Research study is a comparative study of the returns of the two mutual funds which are close ended and open ended mutual fund, quarterly data of Net Asset Values NAV of both the funds from 2008-2012 (inclusive) was taken and the return on those NAVs was calculated through natural log (LN)...

We investigate a new dataset of internationally diverse socially responsible investing (SRI) exposures represented by rigorous rules-based and transparent SRI indices. We test the hypothesis whether the SRI screening process adds value to an investor's portfolio and find that return differences...

We test for arbitrage opportunities and market efficiency in the Hong Kong money, stock, and real estate markets. We find that the money market, represented by the Exchange Fund Bills, stochastically dominates both the stock and real estate markets, represented by the Hang Seng Index and the...

Contrary to the classic framework of passive strategies, if investors exploit return predictability through active strategies then there is a tension between the mean-variance frontiers that drive empirical work and the mean-variance preferences that are used in finance theory. We show that...

In this paper, a model of bounded rational investors investing their portfolio in a passive investment vehicle (e.g., an Exchange Traded Fund replicating a broad index) or an actively managed fund is presented. The model proposes that the quick reswitching of these short-term oriented investors...

In this paper, we construct a pipeline to investigate heuristic diversification strategies in asset allocation. We use machine learning concepts ("explainable AI") to compare the robustness of different strategies and back out implicit rules for decision making.In a first step, we augment the...