To capture the well documented time series momentum and reversal in asset price, we develop a continuous-time asset price model, derive the optimal investment strategy theoretically, and test the strategy empirically. We show that, by combining market fundamentals and timing opportunity with...

This paper challenges the prevailing view that investor sentiment is a contrarian predictor of market returns at nearly all horizons. As an important piece of "out-of-sample" evidence, we document that investor sentiment in China is a reliable momentum signal at monthly frequency. The strong...

This thesis brings together work carried out over the period 2008-2012 in the area of mortality modelling. We look at various aspects of the modelling of mortality and introduce several new models including, the O’Hare and Li (2012) model in chapter 2, and the O’Hare and French, dynamic...