We propose a new, highly effective and easy-to-implement algorithm for solving large-scale mean-variance optimization problems --- with weight upper bound constraints and without short sales --- when the size of mean-variance portfolios is much smaller than the number of assets, which is almost...

We present a new profitable trading and risk management strategy with transaction cost for an adaptive equally weighted portfolio. Moreover, we implement a rule-based expert system for the daily financial decision making process by using the power of spectral analysis. We use several key...

This article studies long-horizon dynamic asset allocation strategies with recursive parameter updating. The parameter estimates for the regime-switching dynamics vary as more and more datapoints are observed and the sample size increases. In such a setting, the globally optimal portfolio...

We study a robo-advising framework that allows for interactions with a client who has time-varying risk preferences that can be mismeasured. A client's willingness to interact is incorporate using a budget constraint. We find that when measurements are more volatile interacting frequently can...

This article studies long-horizon dynamic asset allocation strategies with recursive parameter updating. The parameter estimates for the regime-switching dynamics vary as more and more datapoints are observed and the sample size increases. In such a setting, the globally optimal portfolio...

Mutual fund families are increasingly assigning traders to manage corporate bond mutual funds. Using this setting to study the role of traders in investment management, we document that trader managers identify and exploit short-term trading opportunities at lower transaction costs. These skills...

In contrast to standard investment decisions, choosing an investment fund that acts on behalf of households is a common way of investing for many U.S. households. This paper examines the role of limited consideration in household investment fund choice. I develop the Limited Consideration Model...

This paper analyses the links between advances in financial technology, investors' sophistication, and their financial portfolios' composition and returns. We develop a simple portfolio choice model under asymmetric information and derive some theoretical predictions. Using detailed micro data...