Most papers in the portfolio choice literature have examined linear predictability frameworks based on the idea that simple but flexible Vector Autoregressive (VAR) models can be expanded to produce portfolio allocations that hedge against the bull and bear dynamics typical of financial markets...

The inefficiency of the stock markets is often bound to the stake in evidence of anomalies noticed in the behavior of returns by several authors. These anomalies are revealing of inefficiency if their knowledge permits to make a profit ex-ante of strategies based on them. De Bondt and Thaler...

One year after Coronovirus and three years later after initially suggesting them, we revisit the performance of balanced portfolios of leveraged ETFs that we initially suggested in the 2017 paper. Leveraged ETFs provide a convenient mechanism to dynamically change portfolio exposure and can be...

There has been significant evidence on the forecasting ability of Regime switching regression models. Smart beta or alternative beta indices are gaining wide popularity among investment community. Smart beta indices constructed with either fundamental or scientific weighting schemes are proven...

The paper examines the tail behaviour in financial returns in the Indian debt market.Focussing on the Government securitries Market in India, the study examines whether the behaviour of the tail in the distribution of financial returns exhibit departures from Guaussian assumptions , and if so,...

Many practitioners annualize VaR just like the standard deviation. We show that this approach is incorrect, and a more sophisticated formula should be used for deriving a periodic VaR from parameters of the daily returns distribution. Another problem addressed here is the distribution of daily...

We investigate the link between momentum returns, credit ratings, and business cycles. Momentum returns are significant and large in speculative-grade stocks and more so during contraction periods in business cycles. Speculative-grade stocks, on average earn momentum returns of 1.71% per month...

Using NCRIEF farmland and timberland smoothed indices over the period from 1992Q1 to 2012Q3 and a new de-smoothing approach offered by Fisher et al. (1994), we explore the mean-variance diversification features of farmland and timberland assets. Our empirical results show that diversification...