Purportedly consistent with "risk parity" (RP) asset allocation, recent studies document compelling "low risk" trading strategies that exploit a persistently negative relation between Sharpe ratios (SRs) and maturity along the U.S. Treasury (UST) term structure. This paper extends this evidence...

Asset allocation is at the heart of every portfolio construction process and crucial to its success. Though as diverse as they are innovative, the approaches used to pinpoint the optimal mix of assets mostly have common roots. In the following paper, we address this commonality in depth. First,...

This paper aims to analyze so-called anomalies or additional risk factors (other than market risk) on the Hong Kong stock exchange. To do so, we first select arbitrarily several factors that we a priori believe to be significant, we then collect the data and evaluate the returns associated with...

Many of the empirical investigations in behavioural finance are focused on US markets; with their focus on investor psychology, biases and heuristics these explanations may well not be robust when exposed to different countries, races and cultures. This paper investigates a popular explanation...

Quite a heated debate has been raging in Finance Theory since the early 1990's regarding the relevance of Modern Portfolio Theory. Yet both adversaries are overlooking something very fundamental that could in fact bring them much closer. My working paper on the Market Indifference Curve provides...

A core premise of Modern Portfolio Theory is that investors utilize two parameters for their decision making process only: expected value and standard deviation. Ergo - if only to determine the fair expected return for the Market Portfolio itself - a fair price of total risk exists. Assuming...

We propose a new investment strategy employing “factor funds” to systematically enhance the mean-variance efficiency of international diversification. Our approach is motivated by the increasing evidence that size (SMB), book-to-market (HML), and momentum (MOM) factors, along with the market...

We investigate the effects of bull and bear markets on correlations between developed and emerging country equity returns, and on the benefits of combining international markets in a portfolio. We find that, contrary to most other studies, correlations fall in both bull and bear markets,...

We study the relation between liquidity in financial markets and post-trading fees (i.e. clearing and settlement fees). The clearing and settlement agent (CSD) faces different marginal costs for different types of transactions. Costs are lower for an internalized transaction, i.e. when buyer and...