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...

We use industry data to determine whether crowding of the investment space is caused by portfolio construction processes typical to the investment community. In particular, this paper examines the extent that transaction cost models cause crowding of the investment space, even when the...

In the infinitely repeated Prisoner's Dilemma game with complete information, there are two popular Nash Equilibrium strategies. One such strategy is to not cooperate in every period, which is both a Nash Equilibrium in the one-shot game and a subgame-perfect Nash Equilibrium in the repeated...