This paper establishes an arbitrage pricing framework for evaluating how valuable fund managers really are. This simple framework allows for an investor to determine whether a manager is over or underpaid by looking at the relationship between the manager's up-capture and down-capture ratio. The...

Option pricing and allocation tools in portfolio construction should be prospective - based on assumptions about how prices will change in the future. Most capital market assumptions used in portfolio construction are based on retrospective analysis, boiling down to simple calculations of...

If there is a shift of market power from manufacturers to retailers or from retailers to manufacturers, how are consumers affected? When the value chain has successive firms that each have market power, the shifting balance of power up or down the chain (away from the consumer or towards the...

Does increased savings result in a "paradox" or not? In this paper, a simple model highlights the assumptions sufficient to make thrift a paradox. It also shows what assumptions are necessary to make thrift a virtue

We outline how to use historical analogies or macroeconomic models to generate inputs for mean-variance optimizations. Additionally, we present an alternative framework for thinking about "efficient" portfolios. Our framework focuses on selecting from amongst return distributions instead of...