We assess the ability of minimum-variance portfolio allocation strategies accounting for time-varying correlation between assets to provide performance benefits relative to an equally-weighted portfolio. Prior to transaction costs correlation-based strategies emphatically outperform the...

We estimate a discrete approximation of the risk-return trade-off for the US market by using the whole universe of stocks from July 1963 to September 2017. We find the relationship between return and risk to be time-varying and also dependent on the level of risk considered. The proposed...

Challenges to the empirical implementation of portfolio optimization abound, leading to a recent focus upon the naïve equally weighted portfolio as asset allocation benchmark. In this paper, we extend the performance analysis of the naïve allocation approach to encompass data both within and...

This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) in studies of boom and post-boom housing markets. The paper specifies and tests a housing asset...

This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over a short term hedging horizon can be scaled and successfully applied to...

We present a novel procedure for scaling relatively high frequency tail probability and quantile estimates for the conditional distribution of returns.