Determining the optimal mix of assets in the context of a portfolio construction involves “smart” forecasts of asset returns as well as good estimates of the asset return variances and covariances. Typically, sample moments are used as best estimates of the population moments. Several...

This paper develops a novel framework for characterizing firms with respect to their intangible assets and investigates their impact on market valuations and operating performance. Our framework is based on a contemporary theoretical Knowledge Management concept, namely Intellectual Capital. We...

This article addresses the problem of portfolio construction in the context of efficient hedge fund investments replication. We propose a modification to the standard à la Sharpe ‘style analysis' where we augment the objective function with a penalty proportional to the sum of the absolute...

This article addresses the problem of portfolio construction in the context of efficient hedge fund investments replication. We propose a modification to the standard à la Sharpe “style analysis” by introducing a constraint on the asset weights 1-norm and 2-norm. This constraint regularizes...

The authors measure the aggregate state of the economy using variables motivated by the macro-finance literature. In particular, they focus on three specific measures: macro-growth, fragility, and volatility. Macro-growth, a procyclical measure, combines information from a series of...

We study the relationship between style-related trading and future style returns as well as risk for momentum, value, and low volatility in the S&P 500 universe. To this end, we use a unique data set consisting of the entire daily equity flow executed through Bank of America Merrill Lynch for...