This paper examines the effect of biased expert opinions on asset allocations. Expert opinions, such as brokerage research and analyst views, are an essential component of the asset management sector and an important research topic. However, the effect of behavioral biases on expert opinions is...

Stochastic optimisation has found a fertile ground for applications in finance. One of the greatest challenges remains to incorporate a set of scenarios that accurately models the behaviour of financial markets, and in particular their behaviour during crashes and crises, without sacrificing the...

We propose a continuous-time portfolio selection model that explains the active-passive continuum. Our model illuminates the pivotal role of expert opinions and factors in the asset allocation process. In the model, investors aim to outperform a benchmark. As securities and benchmark's drift...

This paper defines a Beaufort Predictability Index, analogous to the Beaufort Wind Force Scale, to assist analysts in sizing up statistical prediction problems; for background we outline the career of Francis Beaufort and the genesis of his Wind Force Scale. We then describe the various versions...