The previous literature on momentum investments has only considered the so called unconstrained momentum return. This paper will investigate budget constrained momentum returns by using two different datasets. The conclusion is that unconstrained momentum returns systematically overestimate the...

Government usually tends to have two options. They can either pursue a tax revenue maximizing strategy or a growth maximizing strategy. The two approached do not necessarily go hand in hand. This paper derives and empirically estimates a simple laissez faire optimal taxation model from the...

The seminal work by Markowitz in 1959 introduced portfolio theory to the world. The prevailing notion since then has been that portfolio risk is non linear i.e. you cannot use Linear Programming (LP) to optimize your portfolio. We will in this paper show that simple portfolio drawdown...

This paper will present a simple coin toss model which will illustrate the effect of collusion and its impact on the expected payoff for any given player. Such a game has direct links to community investment clubs where people are aggregating their investments. Without any knowledge about the...

Many different studies such as Kelly (1956) have an analyzed the characteristics of log-return investment models. We will in this paper discuss such models both from a theoretical and empirical perspective. We show by estimating the kernel density function for empirical data that the optimal bet...

This paper will discuss portfolio optimization, Quadratic Programming (QP) and Second Order Cone Programming (SOCP). We will use simulated and empirical data to compare the two optimization routines. Daily data for SP500 stocks from 2005 to 2010 was used to show that a 20-days rebalanced...

In economics the relationship between economic growth, debt, taxation and spending is an important one. In this paper we will use an optimal control model to analyze such relationship further. We find that lowering the tax rate is the only strategy that will increase growth and on the same time...

This paper will discuss position sizing based upon three different models: Portfolio theory, Kelly betting and the Alternative investment model which represent the 1% rule. We will then construct a simple trend following trading model where an investor is faced with a hefty 88% chances of a...

This paper discusses serial dependence from both a theoretical and an empirical perspective. Rescale Range Analysis (RRA), Hurst exponents, Autoregressive Integrated Moving Average (ARIMA) models and Fractal Brownian Motions (FBM) are some of the concepts discussed and analyzed. Daily and...

We will in this paper discuss portfolio theory and portfolio optimization. Traditionally Quadratic Programming (QP) has been used to solve portfolio optimization problems. However, when an investor is faced with a large universe of securities the performance of QP will decrease. This paper shows...