Mean-variance optimization often leads to unreasonable asset allocations. This problem has forced scholars and practitioners alike to introduce portfolio constraints. The scope of our study is to verify which type of constraint is more suitable for achieving efficient performance. We have...

1. We test the downward slopping equity term structure in an environment of negative interest rate. 2. We improve the measure of equity duration proposed by \citet*[][]{dechow2004}. 3. We show that the “short-duration” factor improves the performance of factor models. 4. We show that...