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Academic research on trend-following investing has almost exclusively been focused on testing the profitability of various trading rules. However, all existing trend-following rules are ad-hoc rules whose optimality has never been justified theoretically. The goal of this paper is to fill this...
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DeMiguel, Garlappi, and Uppal (2009) conducted a highly influential study where they demonstrated that none of the optimized portfolios consistently outperformed the naive diversification. This result triggered a heated debate within the academic community on whether portfolio optimization adds...
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There is a big controversy among both investment professionals and academics regarding the question of how the probability that a bull or bear market terminates depends on its age. Using more than two centuries of data on the broad US stock market index, in this paper we revisit the duration...
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