The low-risk anomaly challenges traditional financial theory by stating that less volatile stocks generate higher risk-adjusted returns. This paper explores how various portfolio construction choices influence the performance of low-risk portfolios. We show that methodological decisions...

The low-risk anomaly challenges traditional financial theory by stating that less volatile stocks generate higher risk-adjusted returns. This paper explores how various portfolio construction choices influence the performance of low-risk portfolios. We show that methodological decisions...

The aim of this paper is to determine whether forward-looking option-implied returns forecasts lead to better out-of-sample portfolio performance than conventional time series models. We consider a simple two-asset setting with a risk-free asset and the S&P 500 index the risky asset with monthly...

The phrase long-term investing in triple leveraged ETFs is somewhat of an anathema for investment academicians. As a result of daily rebalancing and so-called beta slippage or “the constant leverage trap” it is highly likely over the long term to significantly deviate from the targeted...

GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...

This paper aims to implement a portfolio optimization strategy considering two fundamental aspects: the empirical regularities observed in the time series of stock returns, and the views of portfolio managers about these regularities. From an analytical point of view, all the results are...

Investors utility has been mathematically modeled at 1738 by Daniel Bernoulli as an attempt to capture investors preferences to lottery outcomes. Ever since the analysis of decision making under uncertainty has again become a major focus of interest. Kahneman and Tversky in 1979 suggested a more...

Motivated by empirical evidence of the asymmetry in the relationship between equity market return and volatility, where returns and conditional volatility are negatively correlated, we develop an approach that targets constant volatility in equity market portfolios. This volatility timing...

This paper highlights the use of a new strategic approach within a quantitative investment methodology in the context of making prudent asset allocation decisions. Three asset classes will frame the dynamic asset allocation discussion: Equities, Fixed Income, and Hedge Funds. The quantitative...

The purpose of this article is to assess whether correct application of robust estimators in construction of minimum variance portfolios' (MVP) allows to achieve better investment results in comparison with portfolios defined using classical MLE estimators. Theoretical robust portfolios...