We compared performance of past ‘winners' and past ‘losers' over the look-ahead period of one month for various portfolios that consist of the US ETFs and the holdings of the US equity Select Sector SPDRs in 2007 – 2017 and 2011 - 2017. Namely, we verified the conventional pattern...

It is found that partial correlations between 12 major US equity sector ETFs conditioned on the state of economy (mimicked here by the S&P 500 index) are significantly lower than the Pearson's correlations. The Markowitz mean-variance portfolio theory is modified in terms of partial covariance....

We discuss various performance measures of beta hedging and offer a new synthetic criterion that accounts for both risk-adjusted return and loss of the trading strategy. We consider two long portfolios hedged by the SPDR S&P 500 ETF (SPY) that mimics the S&P 500 index. The first portfolio...

"This book will satisfy the demand among college majors in Finance and Financial Engineering, and mathematically-versed practitioners for description of both the classical approaches to equity investing and new investment strategies scattered in the periodic literature. Besides the major...

The Black-Scholes theory for a portfolio with an arbitrary number of shares, x, is expanded for the case of finite liquidity. The analytical results are derived for linear market impact. As in the case of infinite liquidity (Schmidt, 2003), the arbitrage-free condition yields option price that...