This paper analyzes the mean-variance efficiency of the reserve portfolios of central banks in an effort to shed light on the recent debate regarding the need for portfolio diversification. Using likelihood ratio test statistics, we examine the efficiency of the reserve portfolios of 18...

The Black-Litterman model has gained popularity in applications in the area of quantitative equity portfolio management. Unfortunately, many recent applications of the Black-Litterman to novel aspects of quantitative portfolio management have neglected the rigor of the original Black-Litterman...

When a developed-market investor buys emerging-market stocks, this investor may be justified not to hedge currency risk. Our analysis indicates that completely unhedged portfolios often perform better than fully hedged portfolios and are not significantly inferior to optimally hedged portfolios....

Maximum drawdown refers to the largest cumulative loss of a portfolio within a given time interval. While it has been used by investment professionals as an important measure of portfolio risk for many years, its nature and its implications for asset pricing have not been well understood. The...

This paper reports significant momentum profits among style portfolios of multiple asset classes. Previous studies have demonstrated style momentum within equity markets. The findings of this paper show that style momentum is not merely an equity market phenomenon, but a cross-asset phenomenon....

When the number of assets (N) exceeds the number of time periods (T), the sample co-variance matrix is singular, and the portfolio optimization problem cannot be solved via traditional mean-variance algebra. In such a case, the Moore–Penrose (MP) generalized inverse becomes handy: In this...