Returns depend upon decisions of investors, but investors biases challenge the ability to take rational decisions. Study of biases and their relationships with personality traits helps to understand how biases originate, the way in which they possibly effect investors, and which personality...

We examine the impact framing of information has on the ability of market participants to process information in an earnings conference call. Following conference calls' use of greater linguistic framing, uncertainty is higher. We show that firms experience up to three months of higher total and...

Proceeding to portfolio allocation in the framework of Markowitz, a numerical inconsistency may occur when the sample covariance matrix of assets returns has to be inverted. This is mainly caused by the magnitude of its lowest eigenvalues. In this paper, we tackle the Markowitz problem as an...

Portfolio implementation is an essential part of active investment strategies. The trading horizon-the length of time allocated for trade implementation, is an important consideration in portfolio trading. Previous research on optimal trading limits the trading horizon as a fixed value. In this...

In imperfect capital markets, an entrepreneur has to invest substantial personal funds to start a private firm and is forced to bear large firm-specific risk. Furthermore, if the entrepreneur is risk averse, one would expect the private equity to earn a premium for idiosyncratic risk. In this...

Investors are always in search of diversifying securities and strategies to assist in downside risk management. We consider six popular diversifying securities, i.e. Gold, Swiss Franc, Japanese Yen, Bond Futures, S&P 500 80% strike Put Options, and Trend Following strategies in this paper. Using...

Adaptive Asset Allocation builds on Harry Markowitz’s 1952 Modern Portfolio Theory by providing greater risk management to traditional static allocation models. By adjusting risk exposures within the portfolio in response to the macroeconomic environment, investors can reduce exposure to...

One year after Coronovirus and three years later after initially suggesting them, we revisit the performance of balanced portfolios of leveraged ETFs that we initially suggested in the 2017 paper. Leveraged ETFs provide a convenient mechanism to dynamically change portfolio exposure and can be...

When trading the oil market an artificial intelligent system utilizing cortical and subcortical computing can perform better than a buy and hold strategy between Jan 3, 2005 through April 21, 2015. A cortical and subcortical algorithmic system can recognize patterns in a dataset, and therefore...

This paper studies the investment returns and asset allocation policies of college and university endowments who share annual performance and asset allocation data with the National Association of College and University Business Officers (NACUBO) annual endowment study. In this paper, we review...