We investigate a new way of equity portfolio selection that provides maximum diversification
along the uncorrelated risk sources inherent in the S&P 500 constituents. This diversified …

While the investment man-agement industry is gen-erally considered to be a knowledge-
based industry, surprisingly little has been documented about the effectiveness and the …

We examine value and growth portfolios in seven East Asian countries just before the
onslaught of the 1997 Asian Financial Crisis. The value premiums in these countries, except …

Indexers often evoke financial theory to claim that cap-weighted stock market indices are
good investment choices. This article analyzes the existing literature to see whether the …

This article examines the application of risk parity to fully diversify an equity portfolio. It
presents wealth accumulation in a stochastic dominance framework, tested over increasing …

In this paper we discuss the benchmarking of low-volatility investment strategies, which are
designed to benefit from the empirical result that low-risk stocks tend to earn high risk …

The authors assess the exposure of stock portfolios sorted by total volatility to interest rate
risk and determine whether this nonequity risk can explain differences in risk and risk …

Low-volatility investing has recently witnessed a surge in media coverage and experienced
renewed interest in academic research. We assess various low-(economic) volatility …

High frequency trading enables real-time control of outputs. However, sampling techniques
in traditional statistical process control may be too slow for to detect rapid changes in market …

The authors build on traditional mean-variance optimization with a quantitative framework
for combining the best of science and judgment in selecting an asset allocation for long …