In this paper, we propose a method for hedge fund replication using a factor-based model supplemented with a series of risk and return constraints that implicitly target all the moments of the hedge fund return distribution. We use the approach to replicate the monthly returns of ten broad hedge...

The propensity of households to invest in stocks is lower than implied by Expected Utility Theory. One explanation suggested in the literature is that stocks entail ambiguity and investors are ambiguity averse. We test this hypothesis, measuring participation using equity fund flows and...

In this paper, we document a very strong day-of-the-month effect in the performance of momentum strategies in the foreign exchange market. We show that this seasonality in trading strategy performance is attributable to seasonality in the conditional volatility of foreign exchange returns, and...