Active portfolio management is dynamic: with turnover controlled, the impact of today's
trading persists into the future, where it influences future trading, commingles past and future …

Active portfolio management is dynamic: new information arrives continually, and trading
based on this information repeatedly changes the portfolio. With turnover controlled, the …

A model for dynamic investment strategy is developed where assets' returns are represented
by multiple factors. In a mean–variance framework with factor models under regime …

In this paper we address the question as to why fund managers may trade on short-term
information in a financial market that offers more profitable trading on long-term information …

Publisher Summary This chapter focuses on rebuilding the model in Fishwick's paper
related to optimal time horizon solution for forecasting skill. It mentions that to achieve the …

The conventional models to simplify a return generating process of financial assets have not
paid sufficient amount of attention to discontinuous behaviors represented by expected …

We present a closed-form solution for the steady state investment properties of actively
managed strategies. Our goal is to provide clear, practical predictions to guide the design of …

Cet ouvrage est un extrait de la thèse d'économie réalisée au sein du laboratoire EURISCO
de l'université Paris IX-Dauphine, soutenue en novembre 2001 et proposée par le jury pour …