When a benchmark model is inefficient, including additional assets to the benchmark portfolios can improve its performance. In reality, however, the efficiency of a benchmark model relative to a given set of test assets is ex ante unknown, and the optimal portfolio is constructed based on...

Since the financial crisis of 2008 and the recent (end of 2015) pull back, investors are searching for less risky investments. Therefore, there is a growing demand for low risk/absolute return portfolios. In this paper we describe a simple dual-momentum model (called Protective Asset Allocation...

In this paper we analyze market segmentation by firm size in the commercial real estate transaction process. Using novel micro-level data, we look at the probability distribution of investors acquiring a speci fic bundle of real estate characteristics, distinguishing between investors based on...

Growth-Trend (GT) timing from Philosophical Economics is a brilliant timing strategy which only signals a bear market when both the trend in the unemployment (UE) rate and the SP500 index are bearish. As a result, it captures most market downturns while switching to cash in less than 15% of the...

The paper is focused on an ex-post investment performance analysis. Firstly, we create a suite of return, risk, return to risk and benchmark related measures with immediate real life applications in mind. We define and describe these measures and provide real data examples where appropriate....

An investigation of the limiting behavior of a risk capital allocation rule based on the Conditional Tail Expectation (CTE) risk measure is carried out. More specifically, with the help of general notions of Extreme Value Theory (EVT), the aforementioned risk capital allocation is shown to be...

We propose a framework for combining portfolio rules while mitigating the impact of estimation error. Our main goal is to integrate heterogeneous rules that previously proposed combination methods are unable to accommodate, enabling researchers and investors to leverage established and ongoing...

This paper provides a framework for obtaining the estimator of expected asset returns for portfolio selection. The framework relies on a linear model where the expected returns are the coefficients to be estimated. The model is fitted to a synthetic dataset by Bayesian regression. The estimator...