Markowitz optimization plays an important role in modern portfolio theory. However, it is well-known that Markowitz optimization is highly affected by the estimation error of the mean vector and covariance matrix, resulting in extreme and/or unrealistic portfolio weights, lacks of...

An international portfolio allows simultaneous investment in both domestic and foreign markets. It hence has the potential for improved performance by exploiting a wider range of returns, and diversification benefits, than portfolios investing in a single country. However, to obtain the most...

We investigate whether alternative asset classes should be included in optimal portfolios of the most prominent investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss Averse types of investors. We develop a stochastic spanning...

This paper shows how uncertainty about the type of return distribution (distribution uncertainty) can be incorporated in asset allocation decisions by using a novel, Bayesian semiparametric approach. To evaluate the economic importance of distribution uncertainty, the extent of changes in...

We re-examine US mutual fund performance persistence. We investigate persistence (i) using both “academic” factor models and “practitioner” index models, (ii) using decile-size recursive portfolios and also portfolios formed from smaller numbers of funds, (iii) using nonparametric...

GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant Research & Analytics and US Head of Portfolio Construction Teams:Presentations To: JP Morgan Global Head of Quant...

GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...

Systematic Investment Plans (SIP) play a vital role in accumulating investments over long time horizons in India. We compare returns and volatilities of SIP and Lump Sum Investment (LSI) strategies for selected categories of Indian mutual funds and the S\&P BSE 100 TR Index over different...

We show that monthly rebalanced, equal-weighted, long-only winner portfolios, drawn from the top 200 stocks in India, built using systematic rules that underpin popular factors of momentum, low volatility and quality deliver alpha for the period under study. The market exposure is significant...

Risk driver contributions are key to understanding portfolio risk. Often, this is done by decomposing portfolio ‘volatility’. This is problematic in the presence of non-elliptical distributions. Some asset managers propose switching to value-at-risk (VaR) or expected shortfall (ES) as risk...