We investigate whether adding fundamental indices to a portfolio provides increased diversification benefits. Our results show that equity investors who care only about portfolio mean and variance will benefit from including a fundamental index in their portfolios. This benefit is especially...

I present closed-form analytical solutions to the active mean-variance portfolio management problem relative to a pre-specified benchmark subject to a budget constraint and a beta constraint. The imposition of the beta constraint makes the benchmark relevant to the portfolio problem. I provide...

A combination of simple moving average (MA) trading strategies with several window lengths delivers a greater average return and skewness as well as a lower variance and kurtosis compared to buying and holding the underlying asset using daily returns of value-weighted US decile portfolios sorted...