In this short note, we show investors one way to calculate ideal investment sizing by using two rules of thumb based on a simple outline of individual risk aversion. We illustrate these two heuristics, which are not widely appreciated, with thought experiments involving coin flips and ketchup &...

Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving little error margin in comparing market risk for...

In this study a financial market is conceived as a network where the securities are nodes and the links account for returns' correlations. We theoretically prove the negative relationship between the centrality of assets in this financial market network and their optimal weights under the...

Asset allocation strategies which utilize stop-loss and stop-gain rules may dramatically decrease risk and even increase long-term return relative to passive investing. I introduce an asset allocation strategy which shifts portfolio weights based on simplistic stop rules. The two-asset (S&P...

We analyze the dependency of the optimal hedge and its efficiency on the correlation between the asset to be hedged, and the hedge instrument. The optimal portion of the hedge instrument depends on this correlation, and on the ratio of the volatilities. Efficiency is defined as the percental...

This paper develops new financial theory to link the third order stochastic dominance for risk-averse and risk-seeking investors and provide illustration of application in risk management. We present some interesting new properties of third order stochastic dominance (TSD) for risk-averse and...

The aim of the paper is to analyze the effectiveness of Piotroski F-Score method for a selection of non-US markets (BRIC, UK, Germany), to identify the efficiency of this measure to generate Alpha. This study showed, that companies with high F-Score in non-US markets generate 8.2% (long...

Using leverage to magnify performance is an idea that has enticed investors and traders throughout history. The critical question of when to employ leverage and when to reduce risk, though, is not often addressed. We establish that volatility is the enemy of leverage and that streaks in...

Prior academic research focuses on commodities in isolation as leading economic indicators, ignoring the message price behavior may have on other asset classes. We find that the relative movement of Lumber to Gold provides important information on economic growth and inflation expectations,...

Numerous academic studies have shown that asset allocation is the single most important determinant of portfolio returns. We accept this premise but note that an optimal asset allocation strategy must still be determined based on dynamic conditions. Using the principles of intermarket analysis...