Corporate FX risk management has gained complexity with increased number of currencies involved and varying correlations among them. Existing literature has highlighted the need to account for cross-currency correlations when optimizing hedge ratios for portfolio management (Dowd, 1999). In this...

Small and medium enterprises, or referred to herein as “SME,” may face possible extinction when falling behind the fierce competition in the marketplaces. Undoubtedly, SMEs business viability is the big question mark. Given the limited current capabilities, SMEs may face substantial hurdles...

We all have heard or even follow the proverb: “Don't put all your eggs in one basket”. Clever advice indeed, though it is mute about how we should distribute the eggs. Ideally, the best allocation advice is the one which minimize the number of broken eggs. In Finance we do something similar,...

Growth-Trend (GT) timing from Philosophical Economics is a brilliant timing strategy which only signals a bear market when both the trend in the unemployment (UE) rate and the SP500 index are bearish. As a result, it captures most market downturns while switching to cash in less than 15% of the...

The paper proposes a new algorithm for the high-dimensional financial data -- the Groupwise Interpretable Basis Selection (GIBS) algorithm, to estimate a new Adaptive Multi-Factor (AMF) asset pricing model, implied by the recently developed Generalized Arbitrage Pricing Theory, which relaxes the...

We improve on our Vigilant Asset Allocation (VAA) by the introduction of a separate “canary” universe for signaling the need for crash protection, using the concept of breadth momentum. The amount of cash is now governed by the number of canary assets with bad (non-positive) momentum. The...

Momentum is the premier market anomaly. It is nearly universal in its applicability. This paper examines multi-asset momentum with respect to what can make it most effective for momentum investors. We show that both absolute and relative momentum can enhance returns, but that absolute momentum...

We describe a method to improve credit portfolio models based on the Merton model by adding to the underlying distributions forward-looking tails deducted through the Bayesian Networks technology. Given the forward-looking stance of the approach, its results give a better quanti ed picture of...