Many investment professionals consider academic research instrumental in improving the quality of the investment process. However, it is hard to extract investment insights from the vast and rapidly expanding research corpus, which requires a large amount of time and human effort in order to...

Currency investors exhibit a tendency to cut risk by pairing both longs and shorts following losses and a weaker tendency to add risk following gains. By differentiating between position level, portfolio level and aggregate cross-portfolio losses in currency investments we demonstrate that this...

In his 2001 paper, Leo Breiman describes two diametrically opposed cultures in data science: the model driven statistician and the algorithm driven data scientist. His argument, that an algorithmic approach is often preferable to an iterative model-driven approach is unlikely to resonate with...

Value at Risk has established itself as one of the key measures of risk in both academic literature and the business world. Recent academic research has highlighted some serious shortcomings of Value at Risk, in both the inconsistency of results across models and the failure to account for...

This paper provides new evidence on the existence of dividend clienteles for institutional investors. We directly examine individual institutions' preferences for dividend paying stocks based on the characteristics of stocks held in their portfolio. Many institutions follow persistent investment...

The quality and diversity of a fund’s investment team has long been viewed as a critical part of its success and a potential driver of performance. Yet because active fund management still lacks gender diversity, there are likely additional benefits to be realized.This study leverages a novel...

In the face of high staffing costs, uncertain patient arrivals, and patients unsatisfied with long wait times, staffing of medical emergency departments (EDs) is a vexing problem. Using empirical data collected from three active EDs, we develop an analytic model to provide an effective staffing...