Diversification and portfolio theory: a review
GB Koumou - Financial Markets and Portfolio Management, 2020 - Springer
Diversification is one of the major components of investment decision-making under risk or
uncertainty. However, paradoxically, as the 2007–2009 financial crisis revealed, the concept …
uncertainty. However, paradoxically, as the 2007–2009 financial crisis revealed, the concept …
Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies
The modern portfolio theory pioneered by Markowitz (1952) is widely used in practice and
extensively taught to MBAs. However, the estimated Markowitz portfolio rule and most of its …
extensively taught to MBAs. However, the estimated Markowitz portfolio rule and most of its …
[BOOK][B] Introduction to risk parity and budgeting
T Roncalli - 2013 - books.google.com
Although portfolio management didn't change much during the 40 years after the seminal
works of Markowitz and Sharpe, the development of risk budgeting techniques marked an …
works of Markowitz and Sharpe, the development of risk budgeting techniques marked an …
Hedge funds: A dynamic industry in transition
M Getmansky, PA Lee, AW Lo - Annual Review of Financial …, 2015 - annualreviews.org
The hedge-fund industry has grown rapidly over the past two decades, offering investors
unique investment opportunities that often reflect more complex risk exposures than those of …
unique investment opportunities that often reflect more complex risk exposures than those of …
More hedging instruments may destabilize markets
This paper formalizes the idea that more hedging instruments may destabilize markets when
traders have heterogeneous expectations and adapt their behavior according to …
traders have heterogeneous expectations and adapt their behavior according to …
What is an index?
AW Lo - Available at SSRN 2672755, 2015 - papers.ssrn.com
Technological advances in telecommunications, securities exchanges, and algorithmic
trading have facilitated a host of new investment products that resemble theme-based …
trading have facilitated a host of new investment products that resemble theme-based …
An empirical evaluation of tax-loss-harvesting alpha
SE Chaudhuri, TC Burnham, AW Lo - Financial Analysts Journal, 2020 - Taylor & Francis
Advances in financial technology have made tax-loss harvesting more feasible for retail
investors than such strategies were in the past. We evaluated the magnitude of this “tax …
investors than such strategies were in the past. We evaluated the magnitude of this “tax …
The delegated Lucas tree
We analyze the effects of the observed increased share of delegated capital for trading
strategies and equilibrium prices by introducing delegation into a standard Lucas exchange …
strategies and equilibrium prices by introducing delegation into a standard Lucas exchange …
[BOOK][B] Macroprudential policy: Taming the wild gyrations of credit flows, debt stocks and asset prices
R Barwell - 2013 - Springer
This book is about the policy regime that is being put in place in most jurisdictions in one
form or another to prevent a recurrence of the crisis that has engulfed the global economy …
form or another to prevent a recurrence of the crisis that has engulfed the global economy …
Characteristics-based portfolio choice with leverage constraints
M Ammann, G Coqueret, JP Schade - Journal of Banking & Finance, 2016 - Elsevier
We show that the introduction of a leverage constraint improves the practical implementation
of characteristics-based portfolios. The addition of the constraint leads to significantly lower …
of characteristics-based portfolios. The addition of the constraint leads to significantly lower …