We investigate whether the returns of some industry portfolios predict the returns of other industry portfolios. We find a strong lead-lag structure which is statistically and economically significant. These findings suggest that information diffuses only gradually across industries. Moreover,...

We investigate the diversification benefits of combining commodities with a traditional equity portfolio, while considering higher order statistical moments and seasonality. The literature suggests that the in-sample diversification benefits of commodities in portfolio optimization are not...

We combine a dynamic programming approach (stochastic optimal control) with a multi-stage stochastic programming approach (MSP) in order to solve various problems in personal finance and pensions. Stochastic optimal control produces an optimal policy that is easy to understand and implement....