In our study we found that picking the right weighting method at times doubles portfolio returns. But, paradoxically, we found no significant differences between returns achieved through naïve and scientific weighting methods. Nevertheless, we dismissed the hypothesis that portfolio weightings...

Alpha, or outperformance of a benchmark, can be generated in many ways within a portfolio. It can be created by picking the top hedge fund managers, or by capturing the illiquidity premium via alternative assets. Venture capital is a major source of alpha for long-term investors. Alpha can also...

This paper characterizes the equilibrium in a continuous time financial market populated by heterogeneous agents who differ in their rate of relative risk aversion and face convex portfolio constraints. The model is studied in an application to margin constraints and found to match real world...

Leveraged ETFs provide a convenient mechanism to dynamically change portfolio exposure. A classical portfolio insurance strategy of Black-Jones-Perold can be easily implemented with leveraged ETFs. More complex dynamic portfolio strategies that also can be implemented using leveraged ETFs. We...

Because dividends are taxed at a higher rate than capital gains, as stock with a higher yields should have a higher expected return than a stock whose return is expected to result mostly from price appreciation. Adding yield to the traditional Security Market Line results in a "market plane"...

Many articles show how portfolio composition depends on the investment horizon. Typically, they conclude that portfolio composition changes in a simple way as the investment horizon lengthens.Gunthorpe and Levy [1994] is a superior example. It presents the case for a simple relationship clearly,...

A widespread concern in the investment industry is whether commonly used investment management fee arrangements encourage investment managers to act in their clients' interests. The value to managers of a one-period call performance fee is maximized by maximizing performance volatility. This is...

This paper takes a look back at the original Credit-Informed Tactical Asset Allocation paper published in June 2011 and extends the model to address some of the weaknesses identified in the original paper