The intuitiveness and practicality of mean-variance portfolios largely depend on the accuracy
of moment estimates, which are subject to large estimation errors and are conditional on …

This study investigates the efficiency of European capital markets by examining the
profitability of four long-only momentum strategies, after transaction costs of 0.5%, from the …

Bayesian portfolio construction has received large attention since it was first advocated in
form of the Black-Litterman approach. This Bayesian model aims at investors holding an …

Economists fulfilling a public mission – namely academics, Fed and government employees
– demonstrate a tendency towards being pessimistic, whereas bankers in general are …

Estimating expected returns on assets is tricky business. Errors are common, injecting downside
risk into mean-variance portfolios. The authors of this research introduce a quantitative …

We study changes in market quality associated with 9 modifications to the New York State
securities transaction tax (STT) between 1932 and 1981 and 3 changes to the federal STT …

We study changes in market quality variables associated with nine modifications to the New
York State Securities Transaction Tax (STT) between 1932 and 1981. We find that when …

This dissertation describes OPOS, a C++ software library and framework for developing
massively parallel continuous optimization software. We show that classical iterative …

We investigate the effectiveness of initiating deposit insurance at the outset of a banking crisis.
Using a conjoint analysis approach that allows us to consider the simultaneous impact of …