Mr. Thomas Krawinkel's paper raises the issue of how limits on buying power in executing trades can have a significant impact on the active trader's system results or expectations. It sheds light on the fact that parallel trades consume buying power up to the point where any further trade must...

The goal of this paper is to assist the trader in answering two questions: 1) "What is a reasonable performance estimate of the long-run edge of the trading system?" and, 2) "What worst-case contingencies must be tolerated in short-run performance in order to achieve the long-run expectation?"...

Present market instabilities have prompted great interest on the characteristics of specific portfolios such as minimum variance and equally- weighted risk contribution portfolios as these portfolios do not rely on the estimate of expected returns. Indeed, in turmoil periods traditional market...

This paper explores the optimisation of asset allocation within “alternative” investments, i.e. between private equity and hedge funds, as well as between private equity and public equities. It uses our proprietary Portfolio Blender tool. As a preliminary step before the optimisation, we...

Volatility is usually considered as a synonym for risk. Mainstream financial theory states that higher portfolio volatility is translated into higher expected returns while diversification helps eliminate idiosyncratic risks. This leaves us with an apparent anomaly as low-risk (low-beta) stocks...

This paper develops a general equilibrium model to study the link between real investments and the real term structure of interest rates. In the model, agents' decisions on consumption and investments with short and long term horizons determine the dynamics of the term structure. The model and...

This paper develops an equilibrium model in which agents' heterogeneous investment horizons determine the dynamics of the real term structure of interest rates. The model endogenizes agents' decisions on consumption and investments with short and long term horizons. There are two production...

Shared-appreciation mortgage (SAM) contracts, which display payments indexed to a local house price, have been proposed as an alternative to alleviate the costs of recessions. Using a heterogeneous agent model with two types of agents (Borrowers and Savers), uninsurable idiosyncratic income...

The discounting of future felicity flows transposes to the intertemporal optimization context the assumption of interest-bearing wealth or savings. The validity of the hypothesis has been challenged by several empirical (ir)regularities and by the theoretical implications for human decision...

The discounting of future felicity flows transposes to the intertemporal optimization context the assumption of interest-bearing wealth or savings. The validity of the hypothesis has been challenged by several empirical (ir)regularities and by the theoretical implications for human decision...