Undiversified - or stock picking - portfolios may dominate well diversified benchmarks, when these benchmarks are not mean-variance efficient. Starting from Markowitz's Modern Portfolio Theory we derive simple (linear regression) tests to separate stock picking from diversification. Over 60% of...

Equity returns predict carry trade profits from shorting low interest rate currencies. Commodity price changes predict profits from longing high interest rate currencies. The gradual information diffusion hypothesis (Hong & Stein, 1999; Hong, Torous, & Valkanov, 2007) provides a ready explanation...

Bakshi and Panayotov (2013) find that commodity price changes predict profits from longing high interest rate currencies (long leg profits) up to three months later. We find that equity returns also predict carry trade profits, but from shorting low interest rate currencies (short leg profits)....

Bakshi and Panayotov (2013) find that commodity price changes predict profits from longing high interest rate currencies (long leg profits) up to three months later. We find that equity returns also predict carry trade profits, but from shorting low interest rate currencies (short leg profits)....

Markowitz's mean-variance portfolio optimization is either inefficient or impossible when the number of assets becomes relatively large. To overcome this difficulty, we propose several component-wise boosting learning methods that, in a linear regression specification, can iteratively select the...

We study the relative importance of social factors (including household, workplace, and neighbourhood peer effects) and personal characteristics (including age, gender, tax rates, and funds under management) for asset allocation decisions. The most important factors (in order) are household peer...