Since the Markowitz mean-variance framework of 1952 and the subsequent discoveries of the CAPM and the APT, finance researchers have always strived to produce a reference performance measure adjusted for risk. With such a measure, any supplemental return would be denominated as “alpha”. But...

The problem we address here is the replication of a bond benchmark when only a fraction of the portfolio is invested for the replication. Our methodology is based on a minimization of the tracking error subject to a set of constraints, namely (1) the fraction invested for the replication, (2) a...

This paper proposes a new framework for the calculation of liquidity adjusted value at risk, or LVaR. The model presented in this paper is extended from Almgren and Chriss's mean-variance optimal trading approach (1999 and 2000). Contrary to Almgren and Chriss's model, we express price...

The main objective of this study is to classify economic sectors using the clustering method, and to validate the classification from an economic point of view. The method is intended to create clusters, or portfolios, whose components show similar characteristics. The method also allows...

In this paper, we develop and implement an intertemporal or dynamic asset allocation model for the Swiss financial market. The investor's time horizon is thus explicitly taken into account and the performance of the model is compared with traditional solutions as the quot;mean-variancequot;...