In this article, we propose a method of computing a smooth curve from observed forward
prices with settlement over a period. We consider the electricity market, where such …

We present dynamic trading strategies that target a predefined level of risk measured by
volatility, Value-at-Risk (VaR) or Conditional-Value-at-Risk (CVaR). Recent studies have …

This article presents several active strategies for combining value and momentum strategies
in a tactical asset allocation (TAA) framework. It refines the basic yield approach to valuation …

The authors propose a model of portfolio selection that adjusts an investor's portfolio
allocation in accordance with changing market conditions and liquidity environments. They …

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 …

Recent periods of market turbulence and stress have created considerable interest in
credible alternatives to traditional asset allocation methodologies. It would be preferred if …

For an endowment seeking to minimize payout variability while preserving the long-run
health of the institution, appropriate spending policy is a crucial choice. We study two …

We show that conditional skewness and kurtosis of the momentum strategy are highly time-
varying and sometimes take extreme values or may even not exist. The high negative …

This paper examines the effectiveness of using stock index futures contracts as substitutes
for fixed-income securities in implementing expected shortfall targeting strategy. We find that …

This paper examines a popular risk parity investment portfolio, the so-called All Weather
portfolio, from January 2005 to May 2020. We find that the All Weather portfolio outperforms …