This paper aims to provide a mathematical justification for asset allocation. Asset allocation is widely employed in practice, yet the question of its efficiency remains open. Asset allocation allows portfolio managers to concentrate on a relatively small number of assets, while security...

Computer technology presents economists with new tools, but also raises novel methodological issues. This essay discusses the challenges faced by computational researchers, and proposes some solutions.

Rebalancing alpha is the excess return of a fixed-weight portfolio, which is regularly rebalanced, over its buy-and-hold counterpart. Two kinds of effects, both results of portfolio rebalancing, contribute to rebalancing alpha. The first is a volatility effect that arises from randomness of...

This chapter reviews the theory of the voluntary public and private redistribution of wealth elaborated by economic analysis in the last forty years or so. The central object of the theory is altruistic gift-giving, construed as benevolent voluntary redistribution of income or wealth. The theory...