Government usually tends to have two options. They can either pursue a tax revenue maximizing strategy or a growth maximizing strategy. The two approached do not necessarily go hand in hand. This paper derives and empirically estimates a simple laissez faire optimal taxation model from the...

The previous literature on momentum investments has only considered the so called unconstrained momentum return. This paper will investigate budget constrained momentum returns by using two different datasets. The conclusion is that unconstrained momentum returns systematically overestimate the...

Trend following strategies have the reputation of being the holy grail of investment. This paper investigates the trend following strategy both from a theoretical and empirical perspective. This article also discusses conditional expected return and the drawdown with Value at Risk (VaR). VaR...

Purpose – The purpose of this paper is to communicate the science and art of stop losses. Design/methodology/approach – This paper uses theoretical reasoning, Monte Carlo simulation, and empirical data to support and validate the claims made. Findings – The paper expands on the reasoning...

Purpose – The purpose of this paper is to communicate the science and art of stop losses. Design/methodology/approach – This paper uses theoretical reasoning, Monte Carlo simulation, and empirical data to support and validate the claims made. Findings – The paper expands on the reasoning...