Using data from the G7 countries, we show that a world-based environmental, social, and governance index (ESGI) provides useful information about future real economic activity in- and out-of-sample. A relatively high increase in ESGI predicts a decrease (increase) in future economic activity in...

We develop an analytical solution to the dynamic multi-period portfolio choice problem of an investor with risky liabilities and time varying investment opportunities. We use the model to compare the asset allocation of investors who take liabilities into account, assuming time varying returns...

This paper studies intraday time-series momentum (ITSM) in an international setting by employing high-frequency data of 16 developed markets. We show that ITSM is economically sizable and statistically significant both in- and out-of-sample in most countries. Based on existing theories of...

Motivated by the seasonality found in equity returns, we create a Turn-of-the-Month (ToM) allocation strategy in the U.S. equity market and investigate its value in asset allocation. By using a wide variety of portfolio construction techniques in an attempt to address the impact of estimation...

We provide evidence using data from the G7 countries suggesting that return dispersion may serve as an economic state variable in that it reliably predicts time-variation in economic activity, market returns, the value and momentum premia and market volatility. A relatively high return...

We shed new light on the role of commodities in asset allocation for investors with and without liabilities who (a) believe that asset returns are time varying and predictable (b) have short and long term horizons and (c) have access, in addition to a standard passive commodity portfolio, to...

Estimation errors in the inputs are the main problem when applying portfolio analysis, and Markov regime switching models have been shown to reduce these errors. We investigate whether the use of two regime models remains superior across a range of values of risk aversion and transaction costs,...