Virtually all companies and individuals are faced with the management of taxable assets. To manage these assets efficiently, investors need to be aware of the impact of taxes on investment returns. In the study we report in this article, we quantified the benefits of loss harvesting and highest...

The information coefficient (IC), the correlation between forecasted and realized return, is a popular measure of signal quality. As shown in this article, variation in IC is an important source of active risk, and IC variation has an effect on optimal portfolio structure. Contrary to popular...

This paper assesses whether insurance against aggregate risk (such as the current economic downturn) could be an important rationale for popular government operated loan guarantee programs for small and medium enterprises (SMEs). We demonstrate in a model that firms could be credit-constrained...