We empirically assess a variety of portfolio construction strategies using MSCI country indices from 1998 to 2010. These strategies range from the classic mean-variance optimization strategy to simple allocation strategies, such as equally weighted and dividend-yield-weighted portfolios. We find...

This paper documents the motivation, the construction, and the profitability of an investment strategy based on investor attention in the options market. Using the option volume after a one-week dormant period as a proxy for investor attention, we show that heightened investor attention after...