In the realm of investment decision-making, it is widely recognized that effective decision-making necessitates the integration of various knowledge domains. This paper presents a novel approach to estimating investors’ views in the Black-Litterman model by accumulating evidence from various...

We investigate the out-of-sample diversification benefits of cryptocurrencies from a generalised perspective, a cryptocurrency-factor level, with traditional and machine-learning-enhanced asset-allocation strategies. The cryptocurrency factor portfolios are formed in an analogous way to equity...

Bank failure prediction is a popular topic that requires highly accurate results. We contribute to the literature by determining whether models based on the crisis data are suitable for predicting bank failure during a stable period and which predictors can be held for long-term forecasting. In...

Both the UK spot and futures markets in short term interest rates are found to react strongly to surprises in the scheduled announcements of the repo rate and RPI. Therefore these announcements should also affect the market for options on short term interest rates. Because the repo rate and RPI...

The asset allocation is a crucial decision for pension funds, and this paper analyses the economic factors which determine this choice. The analysis proceeds on the basis that, in the absence of taxation, risk sharing and default insurance, the asset allocation between equities and bonds is...