Risk-based portfolio strategies - such as Minimum Variance, Maximum Diversification, Equally-Weighted and Risk Parity, to name the most famous - have become increasingly popular in the investment industry due to their return-agnostic and risk management features. In this paper, we show that...

This paper studies asset pricing wherein the model combines dynamic learning and habit formation with agents' heterogeneous beliefs and preferences in a dynamic, stochastic, general-equilibrium, pure-exchange, international Lucas orchard. The intertemporal equilibrium model considers two groups...

This work studies asset pricing in which the model combines dynamic learning and heterogeneous habit formations with agents' heterogeneous beliefs and preferences in a continuous-time, general-equilibrium, and international endowment economy. The intertemporal and frictionless equilibrium model...

The theory of functionally generated portfolios (FGPs) is an aspect of the continuous-time, continuous-path Stochastic Portfolio Theory of Robert Fernholz. FGPs have been formulated to yield a master equation - a description of their return relative to a passive (buy-and-hold) benchmark...

The recent surge of interest in so-called smart beta strategies originates from the apparent shortcomings of both traditional benchmarks and active management. Yet not all investors want to follow passive indexing, no matter how smart. Recent literature has tried to reconcile the need for...

We analyze the American option valuation problem with the forward performance criterion introduced by Musiela and Zariphopoulou (2008). In this framework, utility evolves forward in time without reference to a specific future time horizon. Moreover, risk preferences change with stochastic market...

In this paper we propose a coordinate descent algorithm for solving high dimensional risk parity problems. We show that this algorithm converges and is very fast even with large covariance matrices (n500). Comparison with existing algorithms also shows that it is one of the most efficient...

The behavioural finance literature attributes the persistent market misvaluation observed in real data to the presence of deviations from rational thinking of the actors involved. Cognitive biases and the use of simple heuristics can be described using expected utility maximising agents that...

This paper uses auction hammer prices over the period 1996-2009, with a special emphasis on periods of economic downturns, to examine risk, return and diversification benefits of fine wine. Our research shows evidence that the wine market is heterogeneous with wine regions and price categories...

In this paper, we propose a new way to predict market returns for multi-assets (equity, fixed-income and commodity) by extracting features from macroeconomic data and performing machine learning algorithms for both regression and classification. Our approach aims to select robust models to build...