This paper analyses the links between advances in financial technology, investors’ sophistication, and the composition and returns of their financial portfolios. We develop a simple portfolio choice model under asymmetric information and derive some theoretical predictions. Using detailed...

This paper analyses the links between advances in financial technology, investors' sophistication, and their financial portfolios' composition and returns. We develop a simple portfolio choice model under asymmetric information and derive some theoretical predictions. Using detailed micro data...

This paper studies the real mutual fund performance accounting for the presences of lucky funds. We quantify the impact of luck with an innovative measure built on False Discovery Rate (FDR). These FDR measures compute the number and the proportion of fund with truly positive and negative...

FinTech is a new term combining finance and technology. The term did not exist until the end of 2014. Although there is agreement over what finance is, there is no agreed upon definition of technology. It changes with time. American sociologist Read Bain wrote in 1937 that technology includes...

Mutual funds generally do not invest in venture capital, private equity, or restricted shares of public companies. Consequently, individuals who desire to invest in such securities are unable to do so through diversified mutual funds. In this paper, we identify public policies and regulations...

Mean-Variance portfolios are optimal in-sample, however they tend to perform poorly out-of-sample (even worse than the 1/N naïve portfolio!) We introduce a new portfolio construction method that substantially improves the Out-Of-Sample performance of diversified portfolios.The full paper is...

For large portfolio managers, a sequence of single-period optimal positions is rarely multi-period optimal. In particular, transaction costs can prevent large portfolio managers from monetizing most of their forecasting power. The solution is to compute the trading trajectory that comes...

The purpose of this study is to discuss research that identifies heterogeneous mutual fund and investor attributes and relations that explain dispersion in fund fees. One might think there is a short list of attributes and relations, such as high versus low expense ratios, that tells the full...

We find that the average holding period of newly issued convertible bonds by convertible arbitrage hedge funds is approximately 11.6 months, which on average represents only 14% of the bonds' time to maturity. The relatively short holding periods highlight that hedge funds' motivations for...