In establishing the foundation of their investment process, global equity investors typically adopt a framework along geographic and/or industry dimensions. The chosen framework is then applied to the whole investment process including alpha generation, portfolio construction, and risk...

There has been considerable research into dynamic global tactical asset allocation (GTAA) strategies driven by simple measures of Valuation and Momentum applied to a baseline balanced portfolio of equities and fixed income (see Blitz and van Vliet 2008, Wang and Kochard 2011, Gnedenko and Yelnik...

We show how one can use deep neural networks with macro-economic data in conjunction with price-volume data in a walk-forward setting to do tactical asset allocation. Low cost publicly traded ETFs corresponding to major asset classes (equities, fixed income, real estate) and geographies (US,...

This paper analyzes a group of 755 firms, with aggregate indebtedness of US$6.2 trillion, to assess the solvency risks and liquidity needs facing the U.S. corporate sector based on projections of net income, availability and cost of funding, and debt servicing flows under different stress test...

Economies, societies, and many natural systems evolve and change, sometimes dramatically, so good models and accurate forecasts are vital for policymakers to prepare for and navigate these changes successfully. Yet history is littered with forecasts that went badly wrong, sharply illustrated...

This paper is motivated by the implementation of the new banking supervision structure in the European Union (EU) and the possible conflict of interest between monetary policy and the supervision authority within the European Central Bank (ECB). The empirical analysis considers the relationship...

Market structure has a crucial bearing on the price formation mechanism. The present study is an attempt to analyze the market structure of the world wheat market. Market power of the ‘traditional oligopolists' (US, Canada and Australia) is assessed using the standard oligopoly models....

This paper takes into account the recent role of social spending on development. Social spending outcome in Sudan is influenced by limited targeting actions with very low interventions between results in economic growth and accesses to basic social services. An econometric models results show...

This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...