Calibrating a trading rule using a historical simulation (also called backtest) contributes to backtest overfitting, which in turn leads to underperformance. In this paper we propose a procedure for determining the optimal trading rule (OTR) without running alternative model configurations...

This study investigates the role of the finance function in strategy execution and considers to what extent and how the finance function can be configured to support the business and add value. Seven generic roles of the finance function are identified. Desirable skills and competencies of the...

In a published online interview, Professor Lynn Sharp Paine notes that business ethics as a field of academic study emerged in the 1970s from corporate misdeeds including employee and consumer safety issues, damage to the environment, and overseas payment scandals. "Given the field's origins in...

Mean-Variance portfolios are optimal in-sample, however they tend to perform poorly out-of-sample (even worse than the 1/N naïve portfolio!) We introduce a new portfolio construction method that substantially improves the Out-Of-Sample performance of diversified portfolios.The full paper is...

The main purpose of this paper is to verify whether the internal audit affects the detection of anomalies and fraud in the financial statements of public companies in Kosovo. To achieve this purpose, we have prepared a questionnaire and distributed to public enterprises in the Republic of...

The current crisis has triggered significant debate concerning economic theory and policy. Largely absent from this debate is an informed discussion of the methods used by economists in analysing the economy and formulating their proposals. But method matters. Here I argue that current academic...

Classical statistics (e.g., Econometrics) relies on assumptions that are often unrealistic in finance. Two critical assumptions are that the researcher has perfect knowledge about the model's specification, and that the researcher knows all the variables involved in a phenomenon (including all...

Many quantitative firms have suffered substantial losses as a result of the COVID-19 selloff. In this note, we highlight three lessons that quantitative researchers could learn from this crisis. First, researchers should develop more nowcasting methods, and pay less attention to forecasts....

Six weeks after becoming a pandemic, COVID-19 has caused over 150,000 deaths across 210 countries. Governments around the world have instituted universal lockdowns to curve the spread of this serious disease. While it is obvious that extended universal lockdowns have saved lives that otherwise...